Applying Tradeblotter’s Nice Work Across Manager Rather than Time

[This article was first published on Timely Portfolio, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

Ever since I saw the very helpful distribution page first presented in Download and parse EDHEC hedge fund indexes, I have used it liberally.  Now that it is has been functionalized (Visually Comparing Return Distributions), I thought I would amend it slightly to compare distributions of returns across managers rather than time.  As a simple example, I compared the mutual funds offered by Vanguard and Pimco.  This amended function might be very helpful for internal performance monitoring of separately managed accounts across external or internal money managers.  Also, for the purposes of composite dispersion, this might be a good beginning summary look.

I like what I did in Pretty Correlation Map of PIMCO Funds, but this time I wanted to get the performance data directly in a table rather than calculating performance from multiple calls to the getSymbols function.  R can easily load these tables, but I got lazy and imported the tables into Excel and then cleaned them up with some old fashioned pivot tables.  When finished data munging, I copied and pasted into a data sheet to save as .csv (could have used R again to get the data directly from Excel), so I could publish through Google Docs for anyone that wanted to replicate what I have done.

Pimco and Vanguard Mutual Funds 1 Year Performance
From TimelyPortfolio
Pimco and Vanguard Mutual Funds YTD 2013 Performance
From TimelyPortfolio

Now, I’d like to incorporate another fine piece of work Tracking Number of Historical Clusters into this analysis, but I’ll save that for another post.

Code from Gist:

To leave a comment for the author, please follow the link and comment on their blog: Timely Portfolio. offers daily e-mail updates about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)