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, method = "ModifiedVaR", width = 0,
                          event.labels = NULL, ylog = FALSE, wealth.index = FALSE, gap = 12, ...)

Arguments

R a 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
method Used to select the risk parameter to use in the chart.BarVaR. May be any of:
modifiedVaR - uses Cornish-Fisher modified VaR
VaR - uses traditional Value at Risk
StdDev - monthly standard deviation of trailing 12 month returns
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
... any other passthru parameters

Details

Value

A stack of three related timeseries charts.

Note

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

Author(s)

Peter Carl

References

See Also

chart.CumReturns chart.BarVaR chart.Drawdown

Examples

data(edhec)
charts.PerformanceSummary(edhec[,c("Funds.of.Funds","Long.Short.Equity")])

[Package PerformanceAnalytics version 0.9.4 Index]