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#use Ken French momentum style indexes for style analysis
#http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/6_Portfolios_ME_Prior_12_2.zip   require(PerformanceAnalytics)
require(FactorAnalytics)
require(quantmod)   my.url="http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/6_Portfolios_ME_Prior_12_2.zip"
my.tempfile<-paste(tempdir(),"\\frenchmomentum.zip",sep="")
my.usefile<-paste(tempdir(),"\\6_Portfolios_ME_Prior_12_2.txt",sep="")
download.file(my.url, my.tempfile, method="auto", 
	quiet = FALSE, mode = "wb",cacheOK = TRUE)
unzip(my.tempfile,exdir=tempdir(),junkpath=TRUE)
#read space delimited text file extracted from zip
french_momentum <- read.table(file=my.usefile,
	header = TRUE, sep = "",
	as.is = TRUE,
	skip = 12, nrows=1017)
colnames(french_momentum) <- c(paste("Small",
	colnames(french_momentum)[1:3],sep="."),
	paste("Large",colnames(french_momentum)[1:3],sep="."))   #get dates ready for xts index
datestoformat <- rownames(french_momentum)
datestoformat <- paste(substr(datestoformat,1,4),
	substr(datestoformat,5,7),"01",sep="-")   #get xts for analysis
french_momentum_xts <- as.xts(french_momentum[,1:6],
	order.by=as.Date(datestoformat))   french_momentum_xts <- french_momentum_xts/100   #get price series from monthly returns
french_price<-as.xts(
	apply(1+coredata(french_momentum_xts[,1:6]),MARGIN=2,cumprod),
	index(french_momentum_xts))
#check data for reasonability
plot.zoo(french_price,log="y")   #for this example let's use Bill Miller's fund
getSymbols("LMVTX",from="1896-01-01", to=Sys.Date(), adjust=TRUE)
LMVTX <- to.monthly(LMVTX)
index(LMVTX) <- as.Date(format(as.Date(index(LMVTX)),"%Y-%m-01"))
LMVTX.roc <- ROC(LMVTX[,4],type="discrete",n=1)   perfComp <- na.omit(merge(LMVTX.roc,french_momentum_xts))   chart.RollingStyle(perfComp[,1],perfComp[,2:NCOL(perfComp)],
	width=36,
	colorset=c("darkseagreen1","darkseagreen3","darkseagreen4","slateblue1","slateblue3","slateblue4"),
	main="LMVTX Rolling 36mo French Momentum Weights")
#could use the packaged chart.Style but does not allow the
#flexibility I would like
#chart.Style(perfComp[,1],perfComp[,2:NCOL(perfComp)],
#	colorset=c("darkseagreen1","darkseagreen3","darkseagreen4","slateblue1","slateblue3","slateblue4"),
#	main="LMVTX French Momentum Weights")   #get weights for the cumulative period
style.weight <- as.matrix(style.fit(perfComp[,1],
	perfComp[,2:NCOL(perfComp)])$weights)
barplot(style.weight,beside=TRUE,ylim=c(0,max(style.weight)+0.2),
	names.arg=rownames(style.weight),cex.names=0.7,
	col=c("darkseagreen1","darkseagreen3","darkseagreen4",
		"slateblue1","slateblue3","slateblue4"),
	main=paste("LMVTX French Momentum Weights
	Since ",format(index(LMVTX)[1],"%b %Y"),sep=""))   #look at total R to determine goodness of fit
style.R <- style.fit(perfComp[,1],
	perfComp[,2:NCOL(perfComp)])$R.squared     styleR <- function(x) {
	as.numeric(style.fit(R.fund=x[,1,drop=FALSE],R.style=x[,2:NCOL(x),drop=FALSE],method="constrained",selection="none",leverage=FALSE)$R.squared)
}
#convert to matrix since I get
#error "The data cannot be converted into a time series."
#when I use xts as data
style.RollingR <- as.xts(rollapply(data=as.matrix(perfComp),
	width=12,FUN=styleR,by.column=FALSE,by=1),
	order.by=index(perfComp)[12:NROW(perfComp)])
chart.TimeSeries(style.RollingR,ylab="Rolling 12-mo R",
	main=paste("LMVTX Rolling R versus French Momentum
	Since ",format(index(LMVTX)[1],"%b %Y"),sep=""))
abline(h=style.R,col="indianred")
text(x=1,y=style.R,labels="r for entire series",adj=0,col="indianred")