chart.RollingCorrelation {PerformanceAnalytics}R Documentation

chart rolling correlation fo multiple assets


A wrapper to create a chart of rolling correlation metrics in a line chart


chart.RollingCorrelation(Ra, Rb, width = 12, xaxis = TRUE, legend.loc = NULL, colorset = (1:12), na.pad = FALSE, ...)


Ra an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
Rb return vector of the benchmark asset
width number of periods to apply rolling function window over
xaxis if true, draws the x axis
legend.loc places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
colorset color palette to use, set by default to rational choices
na.pad TRUE/FALSE If TRUE it adds any times that would not otherwise have been in the result with a value of NA. If FALSE those times are dropped.
... any other passthru parameters


chart rolling period correlations of one or more assets


Peter Carl


# First we get the data
chart.RollingCorrelation(managers[, 1:6, drop=FALSE], managers[, 8, drop=FALSE], colorset=rich8equal, legend.loc="bottomright", width=24, main = "Rolling 12-Month Correlation")

[Package PerformanceAnalytics version 0.9.9-5 Index]