Cumulates and graphs a set of periodic returns

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Description

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

Usage

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

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.

...

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

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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")

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