charts.PerformanceSummarypackage:PerformanceAnalyticsR Documentation

_C_r_e_a_t_e _c_o_m_b_i_n_e_d _w_e_a_l_t_h _i_n_d_e_x, _p_e_r_i_o_d _p_e_r_f_o_r_m_a_n_c_e, _a_n_d _d_r_a_w_d_o_w_n _c_h_a_r_t

_D_e_s_c_r_i_p_t_i_o_n:

     For a set of returns, create a wealth index chart, bars for
     monthly performance, and underwater chart for drawdown.

_U_s_a_g_e:

     charts.PerformanceSummary(R, Rf = 0, main = NULL, methods = c("ModifiedVaR",
                      "HistoricalVaR"), width = 0, event.labels = NULL, ylog
                      = FALSE, wealth.index = FALSE, gap = 12, begin =
                      c("first", "axis"), legend.loc = "topleft", ...)

_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, as in 'plot' 

 methods: Used to select the risk parameter to use in the chart.BarVaR.
          May be any of:

             *  None - does not add a line,

             *  ModifiedVaR - uses Cornish-Fisher modified VaR,

             *  GaussianVaR - uses traditional Value at Risk,

             *  HistoricalVaR - calculates historical Value at Risk,

             *  StdDev - monthly standard deviation of trailing 12
                month returns.

   begin: Align shorter series to:

             *  first - prior value of the first column given for the
                reference or longer series or,

             *  axis  - the initial value (1 or zero) of the axis.

          passthru to 'chart.CumReturns' 

event.labels: TRUE/FALSE whether or not to display lines and labels for
          historical market shock events 

wealth.index: if 'wealth.index' is 'TRUE', shows the "value of $1",
          starting the cumulation of returns at 1 rather than zero 

   width: number of periods to apply rolling function window over 

     gap: numeric number of periods from start of series to use to
          train risk calculation 

    ylog: TRUE/FALSE set the y-axis to logarithmic scale, similar to
          'plot', default FALSE 

legend.loc: sets the legend location in the top chart.  Can be set to
          NULL or nine locations on the chart: bottomright, bottom,
          bottomleft, left, topleft, top, topright, right, or center. 

     ...: any other passthru parameters 

_N_o_t_e:

     Most inputs are the same as "'plot'" and are principally included
     so that some sensible defaults could be set.

_A_u_t_h_o_r(_s):

     Peter Carl

_S_e_e _A_l_s_o:

     'chart.CumReturns' 
      'chart.BarVaR' 
      'chart.Drawdown'

_E_x_a_m_p_l_e_s:

     data(edhec)
     charts.PerformanceSummary(edhec[,c(1,13)])