chart.RiskReturnScatter {PerformanceAnalytics} R Documentation

## scatter chart of returns vs risk for comparing multiple instruments

### Description

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.

### Usage

```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, ...)
```

### Arguments

 `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`

### Value

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

### Note

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

Peter Carl

### Examples

```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]