chart.RollingCorrelation {PerformanceAnalytics} | R Documentation |
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 |
a 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 data(edhec) edhec.length = dim(edhec)[1] start = rownames(edhec[1,]) start end = rownames(edhec[edhec.length,]) edhec.zoo = zoo(edhec, order.by = rownames(edhec)) sp500.zoo = download.SP500PriceReturns(start = "1996-12-31", end = end) # Then align the dates as "monthly" data time(edhec.zoo) = as.yearmon(time(edhec.zoo)) time(sp500.zoo) = as.yearmon(time(sp500.zoo)) data.zoo = merge(edhec.zoo[,9,drop=FALSE],sp500.zoo) time(data.zoo) = as.Date(time(data.zoo),format="%b %Y") # Finally, plot it chart.RollingCorrelation(data.zoo[, 1, drop=FALSE], data.zoo[, 2, drop=FALSE], colorset=rich8equal, legend.loc="bottomright", lwd=2, width=24)