Value Averaging

> library(xts)
> niftybees <- read.csv("C:/Cauldron/Benchmark/Interns/niftybees.csv",
+     header = T, stringsAsFactors = F)
> niftybees$trade.date <- as.Date(niftybees[, 1], format = "%d-%b-%y")
> niftybees <- xts(niftybees[, 2], niftybees$trade.date)

> plot(niftybees, main = "NIFTY BeES")

> library(fSeries)
> niftybees.ret <- as.xts(returns(niftybees)[-1, ])
> plot(niftybees.ret, main = "NIFTY BeES Returns")

> GetRealization <- function(spot, spotreturns, steps) {
+     x <- sample(spotreturns, steps)
+     y <- spot * cumprod(1 + x)
+     return(y)
+ }

> NiftySpot <- 530
> T <- 60
> g <- 0.01
> C <- 2000
> portfolio <- vector(mode = "numeric", length = (T + 1))
> units <- vector(mode = "numeric", length = (T + 1))
> target <- vector(mode = "numeric", length = (T + 1))
> monthly.inv <- vector(mode = "numeric", length = (T + 1))
> portfolio[1] <- C
> target[1] <- C
> units[1] <- C/NiftySpot
> monthly.inv[1] <- C
> price.path <- GetRealization(NiftySpot, niftybees.ret, (T))
> price.path <- c(NiftySpot, price.path)
> i <- 2
> for (i in 2:(T + 1)) {
+     print(i)
+     current.val <- units[i - 1] * price.path[i]
+     target[i] <- target[i - 1] * (1 + g) + C
+     if (current.val < target[i]) {
+         delta.val <- target[i] - current.val
+         delta.units <- delta.val/price.path[i]
+         units[i] <- units[i - 1] + delta.units
+         monthly.inv[i] <- delta.units * price.path[i]
+     }
+     if (current.val > target[i]) {
+         delta.val <- current.val - target[i]
+         delta.units <- delta.val/price.path[i]
+         units[i] <- units[i - 1] - delta.units
+         monthly.inv[i] <- 0
+     }
+ }
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> results <- cbind(target, monthly.inv)

> layout(rbind(c(1, 2), c(3, 3)))
> plot(results[, 1]/1e+05, type = "l", ylim = c(0, 2), col = "blue",
+     lwd = 2, ylab = "INR (Lakhs) ", xlab = "Time", main = "Value Path")
> plot(results[, 2] * 10, type = "l", , col = "blue", lwd = 2,
+     ylab = "Monthly Outflow", xlab = "Time", main = "Monthly Outflow")
> abline(h = C)
> abline(h = 0)
> plot(price.path, type = "l", lwd = 2, col = "blue", main = "Hypothetical Asset Value Realization")