chart.Regression {PerformanceAnalytics} | R Documentation |

Uses a scatterplot to display the relationship of a set of returns to a market benchmark. Fits a linear model and overlays the resulting model. Also overlays a Loess line for comparison.

chart.Regression(Ra, Rb, Rf, excess.returns = FALSE, reference.grid = TRUE, main = "Title", ylab = NULL, xlab = NULL, xlim = NA, colorset = 1:12, symbolset = 1:12, element.color = "darkgray", legend.loc = NULL, ylog = FALSE, fit = c("loess", "linear", "conditional", "quadratic"), span = 2/3, degree = 1, family = c("symmetric", "gaussian"), ylim = NA, evaluation = 50, legend.cex = 0.8, cex = 0.8, lwd = 2, ...)

`Ra` |
a vector of returns to test, e.g., the asset to be examined |

`Rb` |
a matrix, data.frame, or timeSeries of benchmark(s) to test the asset against |

`Rf` |
risk free rate, in same period as the returns |

`excess.returns` |
logical; should excess returns be used? |

`reference.grid` |
if true, draws a grid aligned with the points on the x and y axes |

`main` |
set the chart title, same as in `plot` |

`ylab` |
set the y-axis title, same as in `plot` |

`xlab` |
set the x-axis title, same as in `plot` |

`xlim` |
set the x-axis limit, same as in `plot` |

`colorset` |
color palette to use |

`symbolset` |
symbols to use, see also 'pch' in `plot` |

`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. |

`ylog` |
Not used |

`fit` |
for values of "loess", "linear", or "conditional", plots a line to fit the data. Conditional lines are drawn separately for positive and negative benchmark returns. "Quadratic" is not yet implemented. |

`span` |
passed to loess line fit, as in `loess.smooth` |

`degree` |
passed to loess line fit, as in `loess.smooth` |

`family` |
passed to loess line fit, as in `loess.smooth` |

`ylim` |
set the y-axis limit, same as in `plot` |

`evaluation` |
passed to loess line fit, as in `loess.smooth` |

`cex` |
set the cex size, same as in `plot` |

`legend.cex` |
set the legend size |

`lwd` |
set the line width for fits, same as in `lines` |

`...` |
any other passthru parameters to `plot` |

scatterplot with fitted lines

Peter Carl

Chapter 7 of Ruppert(2004) gives an extensive overview of CAPM, its assumptions and deficiencies.

data(managers) chart.Regression(managers[, 1:2, drop = FALSE], managers[, 8, drop = FALSE], Rf = managers[, 10, drop = FALSE], excess.returns = TRUE, fit = c("loess", "linear"), legend.loc = "topleft")

[Package *PerformanceAnalytics* version 0.9.9-5 Index]