chart.RiskReturnScatter: scatter chart of returns vs risk for comparing multiple...

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

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",
  geometric = TRUE,
  scale = NA,
  add.sharpe = c(1, 2, 3),
  add.boxplots = FALSE,
  colorset = 1,
  symbolset = 1,
  element.color = "darkgray",
  legend.loc = NULL,
  xlim = NULL,
  ylim = NULL,
  cex.legend = 1,
  cex.axis = 0.8,
  cex.main = 1,
  cex.lab = 1,
  ...
)

Arguments

R	an xts, 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	if set as "calc", then the function will calculate values from the set of returns passed in. If method is set to "nocalc" then we assume that R is a column of return and a column of risk (e.g., annualized returns, annualized risk), in that order. Other method cases may be set for different risk/return calculations.
geometric	utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE
scale	number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)
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
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.
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'.
...	any other passthru parameters to plot

Note

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

Author(s)

Peter Carl

Examples

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

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