chart.RiskReturnScatter {PerformanceAnalytics}R Documentation

scatter chart of returns vs risk for comparing multiple instruments


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:


Peter Carl


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

[Package PerformanceAnalytics version 0.9.9-5 Index]