| 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")