chart.RollingRegression {PerformanceAnalytics}R Documentation

A wrapper to create charts of relative regression performance through time


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.


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, ...)


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


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.


A timeseries line chart of the calculated series


Most inputs are the same as "plot" and are principally included so that some sensible defaults could be set.


Peter Carl

See Also



# First we load the data
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]