chart.Regression: Takes a set of returns and relates them to a market benchmark...

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

Uses a scatterplot to display the relationship of a set of returns to a market benchmark. Fits a linear model and overlays the resulting model. Also overlays a Loess line for comparison.

Usage

chart.Regression(
  Ra,
  Rb,
  Rf = 0,
  excess.returns = FALSE,
  reference.grid = TRUE,
  main = "Title",
  ylab = NULL,
  xlab = NULL,
  xlim = NA,
  colorset = 1:12,
  symbolset = 1:12,
  element.color = "darkgray",
  legend.loc = NULL,
  ylog = FALSE,
  fit = c("loess", "linear", "conditional", "quadratic"),
  span = 2/3,
  degree = 1,
  family = c("symmetric", "gaussian"),
  ylim = NA,
  evaluation = 50,
  legend.cex = 0.8,
  cex = 0.8,
  lwd = 2,
  ...
)

Arguments

Ra	a vector of returns to test, e.g., the asset to be examined
Rb	a matrix, data.frame, or timeSeries of benchmark(s) to test the asset against
Rf	risk free rate, in same period as the returns
excess.returns	logical; should excess returns be used?
reference.grid	if true, draws a grid aligned with the points on the x and y axes
main	set the chart title, same as in plot
ylab	set the y-axis title, same as in plot
xlab	set the x-axis title, same as in plot
xlim	set the x-axis limit, same as in plot
colorset	color palette to use
symbolset	symbols to use, see also 'pch' in plot
element.color	provides the color for drawing chart elements, such as the box lines, axis lines, etc. Default is "darkgray"
legend.loc	places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
ylog	Not used
fit	for values of "loess", "linear", or "conditional", plots a line to fit the data. Conditional lines are drawn separately for positive and negative benchmark returns. "Quadratic" is not yet implemented.
span	passed to loess line fit, as in loess.smooth
degree	passed to loess line fit, as in loess.smooth
family	passed to loess line fit, as in loess.smooth
ylim	set the y-axis limit, same as in plot
evaluation	passed to loess line fit, as in loess.smooth
legend.cex	set the legend size
cex	set the cex size, same as in plot
lwd	set the line width for fits, same as in lines
...	any other passthru parameters to plot

Author(s)

Peter Carl

References

Chapter 7 of Ruppert(2004) gives an extensive overview of CAPM, its assumptions and deficiencies.

See Also

plot

Examples

data(managers)
chart.Regression(managers[, 1:2, drop = FALSE], 
		managers[, 8, drop = FALSE], 
		Rf = managers[, 10, drop = FALSE], 
		excess.returns = TRUE, fit = c("loess", "linear"), 
		legend.loc = "topleft")

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