chart.RelativePerformance {PerformanceAnalytics}R Documentation

relative performance chart between multiple return series


Plots a time series chart that shows the ratio of the cumulative performance for two assets at each point in time and makes periods of under- or out-performance easier to see.


chart.RelativePerformance(Ra, Rb, main = "Relative Performance", xaxis = TRUE, colorset = (1:12), legend.loc = NULL, ylog = FALSE, elementcolor = "darkgray", lty = 1, cex.legend=0.7, ...)


Ra an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
Rb return vector of the benchmark asset
main set the chart title, same as in plot
xaxis if true, draws the x axis
colorset color palette to use, set by default to rational choices
elementcolor provides the color for drawing less-important chart elements, such as the box lines, axis lines, etc. replaces darken
legend.loc places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
ylog TRUE/FALSE set the y-axis to logarithmic scale, similar to plot, default FALSE
cex.legend the magnification to be used for sizing the legend relative to the current setting of 'cex'.
lty set the line type, same as in plot
... any other passthru parameters


To show under- and out-performance through different periods of time, a time series view is more helpful. The value of the chart is less important than the slope of the line. If the slope is positive, the first asset (numerator) is outperforming the second, and vice versa. May be used to look at the returns of a fund relative to each member of the peer group and the peer group index. Alternatively, it might be used to assess the peers individually against an asset class or peer group index.


chart of relative returns


Peter Carl

See Also



chart.RelativePerformance(managers[, 1:6, drop=FALSE], managers[, 8, drop=FALSE], colorset=rich8equal, legend.loc="bottomright", main="Relative Performance to S&P")

[Package PerformanceAnalytics version 0.9.9-5 Index]