R: Chart of Capture Ratios against a benchmark

chart.CaptureRatios {PerformanceAnalytics}

R Documentation

Chart of Capture Ratios against a benchmark

Description

Scatter plot of Up Capture versus Down Capture against a benchmark

Usage

chart.CaptureRatios(Ra, Rb, main = "Capture Ratio", add.names = TRUE, xlab = "Downside Capture", ylab = "Upside Capture", colorset = 1, symbolset = 1, legend.loc = NULL, xlim = NULL, ylim = NULL, cex.legend = 1, cex.axis = 0.8, cex.main = 1, cex.lab = 1, element.color = "darkgray", benchmark.color = "darkgray", ...)

Arguments

`Ra`	Returns to test, e.g., the asset to be examined
`Rb`	Returns of a benchmark to compare the asset with
`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`
`colorset`	Color palette to use, set by default to "black"
`symbolset`	From `pch` in `plot`. Submit a set of symbols to be used in the same order as the data sets submitted
`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`
`cex.axis`	The magnification to be used for axis annotation relative to the current setting of 'cex', same as in `plot`.
`cex.legend`	The magnification to be used for sizing the legend relative to the current setting of 'cex'.
`cex.main`	The magnification to be used for sizing the title relative to the current setting of 'cex'.
`cex.lab`	The magnification to be used for x and y labels relative to the current setting of 'cex'.
`element.color`	Specify the color of the box, axes, and other chart elements. Default is "darkgray"
`benchmark.color`	Specify the color of the benchmark reference and crosshairs. Default is "darkgray"
`...`	Any other passthru parameters to `plot`

Details

Scatter plot shows the coordinates of each set of returns' Up and Down Capture against a benchmark. The benchmark value is by definition plotted at (1,1) with solid crosshairs. A diagonal dashed line with slope equal to 1 divides the plot into two regions: above that line the UpCapture exceeds the DownCapture, and vice versa.

Value

Scatter plot of Up Capture on one axis and Down Capture on the other axis

Author(s)

Peter Carl

Examples

    data(managers)
    chart.CaptureRatios(managers[,1:6], managers[,7,drop=FALSE])

[Package PerformanceAnalytics version 0.9.9-5 Index]