chart.RiskReturnScatter {PerformanceAnalytics} | R Documentation

## scatter chart of returns vs risk for comparing multiple instruments

### Description

A wrapper to create a scatter chart of annualized returns versus annualized risk (standard deviation) for comparing manager performance. Also puts a box plot into the margins to help identify the relative performance quartile.

### Usage

    chart.RiskReturnScatter(R, rf = 0, main = "Annualized Return and Risk", add.names = TRUE, xlab = "Annualized Risk", ylab = "Annualized Return", method = "calc", add.sharpe = c(1, 2, 3), add.boxplots = FALSE, colorset = 1, symbolset = 1, darken = FALSE, legend.loc = NULL, xlim = NULL, ylim = NULL, ...)

### Arguments

`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, same as in `plot`
`add.names` | plots the row name with the data point. default TRUE. Can be removed by setting it to NULL
`xlab` | set the x-axis label, as in `plot`
`ylab` | set the y-axis label, as in `plot`
`method` | Used to select the risk parameter to use in the chart.BarVaR. May be any of: modVaR - uses CF modified VaR VaR - uses traditional Value at Risk StdDev - monthly standard deviation of trailing 12 month returns
`add.sharpe` | this draws a Sharpe ratio line that indicates Sharpe ratio levels of `c(1,2,3)`. Lines are drawn with a y-intercept of the risk free rate and the slope of the appropriate Sharpe ratio level. Lines should be removed where not appropriate (e.g., sharpe.ratio = NULL).
`add.boxplots` | TRUE/FALSE adds a boxplot summary of the data on the axis
`colorset` | color palette to use, set by default to rational choices
`symbolset` | from `pch` in `plot`, submit a set of symbols to be used in the same order as the data sets submitted
`darken` | if true, draws the chart elements in "darkgray" rather than "gray". Makes it easier to print for some printers.
`legend.loc` | places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
`xlim` | set the x-axis limit, same as in `plot`
`ylim` | set the y-axis limit, same as in `plot`
`...` | any other passthru parameters

### Details

### Value

scatter chart with Return on one axis and some Risk measure on the other axis

### Note

Code inspired by a chart on: http://zoonek2.free.fr/UNIX/48_R/03.html

### Author(s)

Peter Carl

### References

### See Also

### Examples

    data(edhec)
    chart.RiskReturnScatter(edhec, rf = .04/12)
    chart.RiskReturnScatter(edhec, rf = .04/12, add.boxplots = TRUE)

[Package PerformanceAnalytics version 0.9.5 Index]