chart.SnailTrail    package:PerformanceAnalytics    R Documentation

_c_h_a_r_t _r_i_s_k _v_e_r_s_u_s _r_e_t_u_r_n _o_v_e_r _r_o_l_l_i_n_g _t_i_m_e _p_e_r_i_o_d_s

_D_e_s_c_r_i_p_t_i_o_n:

     A chart that shows rolling calculations of annualized return and
     annualized standard deviation have proceeded through time.  Lines
     and dots are darker for more recent time periods.

_U_s_a_g_e:

     chart.SnailTrail(R, Rf = 0, main = "Annualized Return and Risk", add.names = c("all", "lastonly", "firstandlast", "none"), xlab = "Annualized Risk", ylab = "Annualized Return", add.sharpe = c(1, 2, 3), colorset = 1:12, symbolset = 16, legend.loc = NULL, xlim = NULL, ylim = NULL, width = 12, stepsize = 12, lty = 1, lwd = 2, cex.axis = 0.8, cex.main = 1, cex.lab = 1, cex.text = 0.8, cex.legend = 0.8, element.color = "darkgray", ...)

_A_r_g_u_m_e_n_t_s:

       R: an xts, vector, matrix, data frame, timeSeries or zoo object
          of asset returns 

      Rf: risk free rate, in same period as your returns 

    main: set the chart title, same as in 'plot' 

add.names: plots the row name with the data point.  default TRUE. Can
          be removed by setting it to NULL 

    xlab: set the x-axis label, as in 'plot' 

    ylab: set the y-axis label, as in 'plot' 

add.sharpe: this draws a Sharpe ratio line that indicates Sharpe ratio
          levels of 'c(1,2,3)'.  Lines are drawn with a y-intercept of
          the risk free rate and the slope of the appropriate Sharpe
          ratio level.  Lines should be removed where not appropriate
          (e.g., sharpe.ratio = NULL). 

colorset: color palette to use, set by default to rational choices 

symbolset: from 'pch' in 'plot',  submit a set of symbols to be used in
          the same order as the data sets submitted 

cex.legend: The magnification to be used for sizing the legend relative
          to the current setting of 'cex'.  

element.color: provides the color for drawing chart elements, such as
          the box lines, axis lines, etc. Default is "darkgray" 

legend.loc: places a legend into one of nine locations on the chart:
          bottomright, bottom, bottomleft, left, topleft, top,
          topright, right, or center. 

    xlim: set the x-axis limit, same as in 'plot' 

    ylim: set the y-axis limit, same as in 'plot' 

   width: number of periods to apply rolling calculations over,
          sometimes referred to as a 'window' 

stepsize: the frequency with which to make the rolling calculation 

     lty: set the line type, same as in 'plot' 

     lwd: set the line width, same as in 'plot' 

 cex.lab: The magnification to be used for sizing the label relative to
          the current setting of 'cex', similar to 'plot'. 

cex.main: The magnification to be used for sizing the main chart
          relative to the current setting of 'cex', as in 'plot'. 

cex.axis: The magnification to be used for sizing the axis text
          relative to the current setting of 'cex', similar to 'plot'. 

cex.text: The magnification to be used for sizing the text relative to
          the current setting of 'cex', similar to 'plot'. 

     ...: any other passthru parameters 

_V_a_l_u_e:

     chart of risk and return coordinates through time

_A_u_t_h_o_r(_s):

     Peter Carl

_R_e_f_e_r_e_n_c_e_s:

     ~put references to the literature/web site here ~

_S_e_e _A_l_s_o:

     'chart.RiskReturnScatter'

_E_x_a_m_p_l_e_s:

     data(managers)
     chart.SnailTrail(managers[,c("HAM2","SP500 TR"),drop=FALSE], width=36, stepsize=12, colorset=c('red','orange'),add.names="firstandlast", rf=.04/12, main="Trailing 36-month Performance Calc'd Every 12 Months")