chart.CumReturns: Cumulates and graphs a set of periodic returns

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

Chart that cumulates the periodic returns given and draws a line graph of the results as a "wealth index".

Usage

chart.CumReturns(
  R,
  wealth.index = FALSE,
  geometric = TRUE,
  legend.loc = NULL,
  colorset = (1:12),
  begin = c("first", "axis"),
  plot.engine = "default",
  ...
)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
wealth.index	if wealth.index is TRUE, shows the "value of $1", starting the cumulation of returns at 1 rather than zero
geometric	utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE
legend.loc	places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
colorset	color palette to use, set by default to rational choices
begin	Align shorter series to: first - prior value of the first column given for the reference or longer series or, axis - the initial value (1 or zero) of the axis.
plot.engine	choose the plot engine you wish to use" ggplot2, plotly,dygraph,googlevis and default
...	any other passthru parameters

Details

Cumulates the return series and displays either as a wealth index or as cumulative returns.

Author(s)

Peter Carl

References

Bacon, Carl. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004.

See Also

chart.TimeSeries
plot

Examples

data(edhec)
chart.CumReturns(edhec[,"Funds of Funds"],main="Cumulative Returns")
chart.CumReturns(edhec[,"Funds of Funds"],wealth.index=TRUE, main="Growth of $1")
data(managers)
chart.CumReturns(managers,main="Cumulative Returns",begin="first")
chart.CumReturns(managers,main="Cumulative Returns",begin="axis")

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