chart.RiskReturnScatter {PerformanceAnalytics} | R Documentation |

A wrapper to create a scatter chart of annualized returns versus annualized risk (standard deviation) for comparing manager performance. Also puts a box plot into the margins to help identify the relative performance quartile.

chart.RiskReturnScatter(R, Rf = 0, main = "Annualized Return and Risk", add.names = TRUE, xlab = "Annualized Risk", ylab = "Annualized Return", method = "calc", geometric = TRUE, scale = NA, add.sharpe = c(1, 2, 3), add.boxplots = FALSE, colorset = 1, symbolset = 1, element.color = "darkgray", legend.loc = NULL, xlim = NULL, ylim = NULL, cex.legend = 1, cex.axis = 0.8, cex.main = 1, cex.lab = 1, ...)

`R` |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |

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

`scale` |
number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4) |

`geometric` |
generate geometric (TRUE) or simple (FALSE) returns, default TRUE |

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

`add.names` |
plots the row name with the data point. default TRUE. Can be removed by setting it to NULL |

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

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

`method` |
if set as "calc", then the function will calculate values from the set of returns passed in. If method is set to "nocalc" then we assume that R is a column of return and a column of risk (e.g., annualized returns, annualized risk), in that order. Other method cases may be set for different risk/return calculations. |

`add.sharpe` |
this draws a Sharpe ratio line that indicates Sharpe ratio levels of `c(1,2,3)` . Lines are drawn with a y-intercept of the risk free rate and the slope of the appropriate Sharpe ratio level. Lines should be removed where not appropriate (e.g., sharpe.ratio = NULL). |

`add.boxplots` |
TRUE/FALSE adds a boxplot summary of the data on the axis |

`colorset` |
color palette to use, set by default to rational choices |

`symbolset` |
from `pch` in `plot` , submit a set of symbols to be used in the same order as the data sets submitted |

`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. |

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

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

`cex.axis` |
The magnification to be used for axis annotation relative to the current setting of 'cex', same as in `plot` . |

`cex.legend` |
The magnification to be used for sizing the legend relative to the current setting of 'cex'. |

`cex.main` |
The magnification to be used for sizing the title relative to the current setting of 'cex'. |

`cex.lab` |
The magnification to be used for x and y labels relative to the current setting of 'cex'. |

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

scatter chart with Return on one axis and some Risk measure on the other axis

Code inspired by a chart on: http://zoonek2.free.fr/UNIX/48_R/03.html

Peter Carl

data(edhec) chart.RiskReturnScatter(edhec, Rf = .04/12) chart.RiskReturnScatter(edhec, Rf = .04/12, add.boxplots = TRUE)

[Package *PerformanceAnalytics* version 0.9.9-5 Index]