charts.PerformanceSummary {PerformanceAnalytics}R Documentation

Create combined wealth index, period performance, and drawdown chart

Description

For a set of returns, create a wealth index chart, bars for monthly performance, and underwater chart for drawdown.

Usage

charts.PerformanceSummary(R, Rf = 0, main = NULL, methods = c("ModifiedVaR",
                 "HistoricalVaR"), width = 0, event.labels = NULL, ylog
                 = FALSE, wealth.index = FALSE, gap = 12, begin =
                 c("first", "axis"), legend.loc = "topleft", ...)

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
main set the chart title, as in plot
methods Used to select the risk parameter to use in the chart.BarVaR. May be any of:
  • None - does not add a line,
  • ModifiedVaR - uses Cornish-Fisher modified VaR,
  • GaussianVaR - uses traditional Value at Risk,
  • HistoricalVaR - calculates historical Value at Risk,
  • StdDev - monthly standard deviation of trailing 12 month returns.
begin Align shorter series to:
  • first - prior value of the first column given for the reference or longer series or,
  • axis - the initial value (1 or zero) of the axis.
passthru to chart.CumReturns
event.labels TRUE/FALSE whether or not to display lines and labels for historical market shock events
wealth.index if wealth.index is TRUE, shows the "value of $1", starting the cumulation of returns at 1 rather than zero
width number of periods to apply rolling function window over
gap numeric number of periods from start of series to use to train risk calculation
ylog TRUE/FALSE set the y-axis to logarithmic scale, similar to plot, default FALSE
legend.loc sets the legend location in the top chart. Can be set to NULL or nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
... any other passthru parameters

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

chart.CumReturns
chart.BarVaR
chart.Drawdown

Examples

data(edhec)
charts.PerformanceSummary(edhec[,c(1,13)])
[Package PerformanceAnalytics version 0.9.9-5 Index]