| 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, methods = c("ModifiedVaR",
"HistoricalVaR"), width = 0, event.labels = NULL, ylog
= FALSE, wealth.index = FALSE, gap = 12, begin =
c("first", "axis"), legend.loc = "topleft", ...)
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 |
methods |
Used to select the risk parameter to use in the chart.BarVaR.
May be any of:
|
begin |
Align shorter series to:
chart.CumReturns
|
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 |
legend.loc |
sets the legend location in the top chart. Can be set to NULL or nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center. |
... |
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")])