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rquantmod

Adding S&P 500 curve to Brock value


I have the following code for plotting Brock value

require(quantmod)

# Pull S&P500 from Yahoo
getSymbols("^GSPC", src="yahoo", from="1947-01-01")
# Convert to monthly, since GDP/AAA are quarterly/monthly, respectively
SPX <- to.monthly(GSPC, name="SPX")

# Pull GDP and AAA bond yield from FRED
getSymbols("AAA;GDP", src="FRED")
# Convert xts index to yearmon, so series will merge cleanly
index(AAA) <- as.yearmon(index(AAA))
index(GDP) <- as.yearmon(index(GDP))

# Merge, fill w/NA, and omit all obs where we don't have data for all 3 series
x <- na.omit(merge(SPX, GDP, AAA, fill=na.locf))
indexTZ(x) <- "UTC"  # avoid potential timezone issues with non-datetime index

# Calculate Brock Value
x$BV <- x$GDP/(2*x$AAA)
# plot
plot(log(x[,c("SPX.Close","BV")]), main="Brock Value")

The above code produces following plot:

enter image description here

What I am trying to achieve is superimpose a S&P 500 curve on the plot like it is shown on this figure:

enter image description here

How would this be possible?


Solution

  • # Your Plot
    plot(index(x), log(x[,"SPX.Close"]), 
         main= "Log Brock Value and Log S&P Close", col = "black",
         ylab = "Log Value", xlab = "Years", type = "l")
    lines(index(x), log(x[,c("BV")]), col = "red")
    legend('bottomright', c("SPX.Close","Brock"), 
           lty=1, col=c('black', 'red'), bty='n', cex=1.2)
    

    enter image description here