## Equal-weighted long-only strategy EwRetfac <- 1 + rowMeans(Returns) EwRetfac[1] <- 100 EW <- timeSeries(cumprod(EwRetfac), epoints) ## Plot of portfolio wealth ylims <- range(cbind(LO, EW)) plot(LO, ylim = ylims, xlab = "", ylab = "Index") lines(EW, col = "blue", lty = 2) legend("topleft", legend = c("TAA long-only", "EW long-only"), lty = 1:2, col = c("black", "blue")) ## Portfolio analytics library(PerformanceAnalytics) ## Portfolio returns LORet <- returns(LO, method = "discrete", percentage = FALSE, trim = TRUE) EWRet <- returns(EW, method = "discrete", percentage = FALSE, trim = TRUE) ## VaR LOVAR <- -100 * VaR(LORet, p = 0.95, method = "gaussian") EWVAR <- -100 * VaR(EWRet, p = 0.95, method = "gaussian") ## ES LOES <- -100 * ES(LORet, p = 0.95, method = "gaussian") EWES <- -100 * ES(EWRet, p = 0.95, method = "gaussian") ## Sharpe LOSR <- SharpeRatio(LORet) EWSR <- SharpeRatio(EWRet) ## Annualised returns LORA <- Return.annualized(LORet, scale = 52) EWRA <- Return.annualized(EWRet, scale = 52)