chart.RelativePerformance {PerformanceAnalytics}R Documentation

relative performance chart between multiple return series

Description

A wrapper to create a chart of relative returns through time

Usage

chart.RelativePerformance(Ra, Rb, main = "Relative Performance", xaxis = TRUE, colorset = (1:12), legend.loc = NULL, ylog = FALSE, elementcolor = "darkgray", lty = 1, cex.legend=0.7, ...)

Arguments

Ra a vector, matrix, data frame, timeSeries or zoo object of asset returns
Rb return vector of the benchmark asset
main set the chart title, same as in plot
xaxis if true, draws the x axis
colorset color palette to use, set by default to rational choices
elementcolor provides the color for drawing less-important chart elements, such as the box lines, axis lines, etc. replaces darken
legend.loc places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
ylog TRUE/FALSE set the y-axis to logarithmic scale, similar to plot, default FALSE
cex.legend the magnification to be used for sizing the legend relative to the current setting of 'cex'.
lty set the line type, same as in plot
... any other passthru parameters

Value

chart of relative returns

Author(s)

Peter Carl

Examples

# 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.RelativePerformance(data.zoo[, 1, drop=FALSE], data.zoo[, 2, drop=FALSE], colorset=rich8equal, legend.loc="bottomright", lwd=2)

[Package PerformanceAnalytics version 0.9.7.1 Index]