charts.PerformanceSummary {PerformanceAnalytics} | R Documentation |
For a set of returns, create a wealth index chart, bars for monthly performance, and underwater chart for drawdown.
charts.PerformanceSummary(R, rf = 0, main = NULL, method = "ModifiedVaR", width = 0, event.labels = NULL, ylog = FALSE, wealth.index = FALSE, gap = 12, ...)
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 |
A stack of three related timeseries charts.
Most inputs are the same as "plot
" and are principally included so that some sensible defaults could be set.
Peter Carl
chart.CumReturns
chart.BarVaR
chart.Drawdown
data(edhec) charts.PerformanceSummary(edhec[,c("Funds.of.Funds","Long.Short.Equity")])