chart.Regression {PerformanceAnalytics}R Documentation

Takes a set of returns and relates them to a market benchmark in a scatterplot


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.

See Also



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]