chart.RollingRegression {PerformanceAnalytics} | R Documentation |

## A wrapper to create charts of relative regression performance through time

### Description

A wrapper to create a chart of relative regression performance through time

A group of charts in `charts.RollingRegression`

displays alpha, beta, and R-squared estimates in three aligned charts in a single device.

### Usage

chart.RollingRegression(Ra, Rb, width = 12, Rf = 0, attribute = c("Beta", "Alpha", "R-Squared"), main=NULL, na.pad = TRUE, ...)
chart.RollingQuantileRegression(Ra, Rb, width = 12, Rf = 0, attribute = c("Beta", "Alpha", "R-Squared"), main=NULL, na.pad = TRUE, ...)
charts.RollingRegression(Ra, Rb, width = 12, Rf = 0, main = NULL, legend.loc = NULL, event.labels = NULL, ...)

### Arguments

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

`Rb` |
return vector of the benchmark asset |

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

`width` |
number of periods to apply rolling function window over |

`attribute` |
one of "Beta","Alpha","R-Squared" for which attribute to show |

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

`event.labels` |
TRUE/FALSE whether or not to display lines and labels for historical market shock events |

`legend.loc` |
places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center. |

`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 to `chart.TimeSeries` |

### Details

The attribute parameter is probably the most confusing. In mathematical terms, the different choices yeild the following:

Alpha - shows the y-intercept

Beta - shows the slope of the regression line

R-Squared - shows the degree of fit of the regression to the data

`chart.RollingQuantileRegression`

uses `rq`

rather than
`lm`

for the regression, and may be more robust to outliers in the data.

### Value

A timeseries line chart of the calculated series

### Note

Most inputs are the same as "`plot`

" and are principally included so that some sensible defaults could be set.

### Author(s)

Peter Carl

### See Also

`lm`

`rq`

### Examples

# First we load the data
data(managers)
chart.RollingRegression(managers[, 1, drop=FALSE], managers[, 8, drop=FALSE], Rf = .04/12)
charts.RollingRegression(managers[, 1:6], managers[, 8, drop=FALSE], Rf = .04/12, colorset = rich6equal, legend.loc="topleft")

[Package

*PerformanceAnalytics* version 0.9.9-5

Index]