chart.RollingRegression {PerformanceAnalytics} | R Documentation |
A wrapper to create a chart of relative regression performance through time
A group of charts in charts.RollingRegression
displays alpha, beta, and R-squared estimates in three aligned charts in a single device.
chart.RollingRegression(Ra, Rb, width = 12, Rf = 0, attribute = c("Beta", "Alpha", "R-Squared"), main=NULL, na.pad = TRUE, ...) chart.RollingQuantileRegression(Ra, Rb, width = 12, Rf = 0, attribute = c("Beta", "Alpha", "R-Squared"), main=NULL, na.pad = TRUE, ...) charts.RollingRegression(Ra, Rb, width = 12, Rf = 0, main = NULL, legend.loc = NULL, event.labels = NULL, ...)
Ra |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rb |
return vector of the benchmark asset |
Rf |
risk free rate, in same period as your returns |
width |
number of periods to apply rolling function window over |
attribute |
one of "Beta","Alpha","R-Squared" for which attribute to show |
main |
set the chart title, same as in plot |
event.labels |
TRUE/FALSE whether or not to display lines and labels for historical market shock events |
legend.loc |
places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center. |
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 to chart.TimeSeries |
The attribute parameter is probably the most confusing. In mathematical terms, the different choices yeild the following:
Alpha - shows the y-intercept
Beta - shows the slope of the regression line
R-Squared - shows the degree of fit of the regression to the data
chart.RollingQuantileRegression
uses rq
rather than
lm
for the regression, and may be more robust to outliers in the data.
Most inputs are the same as "plot
" and are principally included so that some sensible defaults could be set.
Peter Carl
# First we load the data data(managers) chart.RollingRegression(managers[, 1, drop=FALSE], managers[, 8, drop=FALSE], Rf = .04/12) charts.RollingRegression(managers[, 1:6], managers[, 8, drop=FALSE], Rf = .04/12, colorset = rich6equal, legend.loc="topleft")