chart.CumReturns {PerformanceAnalytics}R Documentation

Cumulates and graphs a set of periodic returns

Description

Chart that cumulates the periodic returns given and draws a line graph of the results as a "wealth index".

Usage

chart.CumReturns(R, wealth.index = FALSE, legend.loc = NULL, colorset =(1:12), begin = c("first","axis"), ...)

Arguments

R an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
wealth.index if wealth.index is TRUE, shows the "value of $1", starting the cumulation of returns at 1 rather than zero
legend.loc places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
colorset color palette to use, set by default to rational choices
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.
... any other passthru parameters

Details

Cumulates the return series and displays either as a wealth index or as cumulative returns.

Value

A timeseries line chart of the cumulative return series.

Author(s)

Peter Carl

References

Bacon, Carl. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004.

See Also

chart.TimeSeries
plot

Examples

data(edhec)
chart.CumReturns(edhec[,"Funds of Funds",drop=FALSE],main="Cumulative Returns")
chart.CumReturns(edhec[,"Funds of Funds",drop=FALSE],wealth.index=TRUE, main="Value of \$1")
[Package PerformanceAnalytics version 0.9.9-5 Index]