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performanceSummary.rnw
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performanceSummary.rnw
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%% LyX 2.0.3 created this file. For more info, see http://www.lyx.org/.
%% Do not edit unless you really know what you are doing.
\documentclass[nohyper,justified]{tufte-handout}
\usepackage[T1]{fontenc}
\usepackage{url}
\usepackage[unicode=true,pdfusetitle, bookmarks=true,bookmarksnumbered=true,bookmarksopen=true,bookmarksopenlevel=2, breaklinks=true,pdfborder={0 0 1},backref=false,colorlinks=false] {hyperref}
\hypersetup{pdfstartview=FitH}
\usepackage{breakurl}
\makeatletter
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% LyX specific LaTeX commands.
\title{Performance Reporting with knitr}
\author{Timely Portfolio}
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% User specified LaTeX commands.
\renewcommand{\textfraction}{0.05}
\renewcommand{\topfraction}{0.8}
\renewcommand{\bottomfraction}{0.8}
\renewcommand{\floatpagefraction}{0.75}
\makeatother
\begin{document}
% \SweaveOpts{fig.path='figure/graphics-', cache.path='cache/graphics-', fig.align='center', dev='pdf', fig.width=5, fig.height=5, fig.show='hold', cache=TRUE, par=TRUE}
<<setup, include=FALSE, cache=FALSE>>=
options(replace.assign=TRUE,width=60)
@
\maketitle
\begin{abstract}
This sample performance report will begin to highlight the ability of the \textbf{knitr} package to generate marketing materials and client-facing performance reports with a little help from the \textbf{PerformanceAnalytics} package.
\end{abstract}
Thanks again to Yihui Xie for not only his amazing \textbf{knitr} work but also his numerous examples. His {\url{http://yihui.name/knitr/demo/graphics/} (\textbf{knitr Graphics Manual}) will provide the initial template for this report. As I learn, hopefully I will not have to mimic his example so closely.
\section{Performance Summary}
For this first example we will use the prebuilt \textbf{charts.PerformanceSummary} function to visualize cumulative growth and drawdown of the EDHEC style indexes provided by data(edhec). Although \textbf{charts.PerformanceSummary} was primarily intended as an example or template, I hear that it has appeared unadulterated in live performance reports and marketing.
<<loadlibrary, eval=TRUE, results='hide', message=FALSE>>=
require(PerformanceAnalytics)
data(edhec)
@
\begin{figure}
<<perf, fig.width=8, fig.height=8, out.width='.9\\linewidth',dev='pdf',echo=TRUE,warning=FALSE>>=
charts.PerformanceSummary(edhec,main="Performance of EDHEC Style Indexes")
@
\caption{\textbf{charts.PerformanceSummary} provides a nice chart of my favorite measures: compounded return and drawdown.\label{fig:perf}}
\end{figure}
\newpage
\section{Improvement??}
With a little help from \textbf{lattice} and \textbf{latticeExtra}, maybe we can get something that might fit my style a little better.
<<perfbetter, eval=FALSE, warning=FALSE>>=
require(lattice)
require(latticeExtra)
require(reshape2)
#get cumulative growth of $1
edhec.cumul <- apply(edhec+1,MARGIN=2,cumprod)
#use melt so we can get in a format lattice or ggplot2 likes
edhec.cumul.melt <- melt(as.data.frame(cbind(index(edhec),edhec.cumul)),id.vars=1)
#name columns something more appropriate
colnames(edhec.cumul.melt) <- c("Date","Style","Growth")
#get dates in text form
edhec.cumul.melt[,1] <- as.Date(edhec.cumul.melt[,1])
colors <- c(brewer.pal(9,name="PuBuGn")[3:9],brewer.pal(9,"YlOrRd")[4:9])
#plot with lattice
xyplot(Growth~Date,groups=Style,data=edhec.cumul.melt,
type="l",lwd=2,col=colors,
par.settings=theEconomist.theme(box="transparent"),
axis = theEconomist.axis,
scales=list(x=list(alternating=1),
y=list(alternating=1)),
main="Cumulative Growth of EDHEC Style Indexes")+ layer(panel.text(x=as.Date(index(edhec)[NROW(edhec)]-1),y=round(edhec.cumul[NROW(edhec.cumul),],2),colnames(edhec),pos=0,cex=0.8,col=colors))
@
\begin{figure}
<<latticeperf,ref.label='perfbetter', fig.width=8, fig.height=8, out.width='.9\\linewidth',dev='pdf',echo=FALSE,warning=FALSE>>=
@
\caption{Still a mess but definitely closer to what I expect for production quality reporting. Keep following. I will get better.\label{fig:perf}}
\end{figure}
\end{document}