%% 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}