chart.CaptureRatios: Chart of Capture Ratios against a benchmark

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

Scatter plot of Up Capture versus Down Capture against a benchmark

Usage

chart.CaptureRatios(
  Ra,
  Rb,
  main = "Capture Ratio",
  add.names = TRUE,
  xlab = "Downside Capture",
  ylab = "Upside Capture",
  colorset = 1,
  symbolset = 1,
  legend.loc = NULL,
  xlim = NULL,
  ylim = NULL,
  cex.legend = 1,
  cex.axis = 0.8,
  cex.main = 1,
  cex.lab = 1,
  element.color = "darkgray",
  benchmark.color = "darkgray",
  ...
)

Arguments

Ra	Returns to test, e.g., the asset to be examined
Rb	Returns of a benchmark to compare the asset with
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
colorset	Color palette to use, set by default to "black"
symbolset	From pch in plot. Submit a set of symbols to be used in the same order as the data sets submitted
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
cex.legend	The magnification to be used for sizing the legend relative to the current setting of 'cex'.
cex.axis	The magnification to be used for axis annotation relative to the current setting of 'cex', same as in plot.
cex.main	The magnification to be used for sizing the title relative to the current setting of 'cex'.
cex.lab	The magnification to be used for x and y labels relative to the current setting of 'cex'.
element.color	Specify the color of the box, axes, and other chart elements. Default is "darkgray"
benchmark.color	Specify the color of the benchmark reference and crosshairs. Default is "darkgray"
...	Any other passthru parameters to plot

Details

Scatter plot shows the coordinates of each set of returns' Up and Down Capture against a benchmark. The benchmark value is by definition plotted at (1,1) with solid crosshairs. A diagonal dashed line with slope equal to 1 divides the plot into two regions: above that line the UpCapture exceeds the DownCapture, and vice versa.

Author(s)

Peter Carl

See Also

plot,
par,
UpDownRatios,
table.UpDownRatios

Examples

    data(managers)
    chart.CaptureRatios(managers[,1:6], managers[,7,drop=FALSE])

PerformanceAnalytics documentation built on Feb. 6, 2020, 5:11 p.m.