chart.RollingCorrelation: chart rolling correlation fo multiple assets

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

A wrapper to create a chart of rolling correlation metrics in a line chart

Usage

chart.RollingCorrelation(
  Ra,
  Rb,
  width = 12,
  xaxis = TRUE,
  legend.loc = NULL,
  colorset = (1:12),
  ...,
  fill = NA
)

Arguments

Ra	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
Rb	return vector of the benchmark asset
width	number of periods to apply rolling function window over
xaxis	if true, draws the x axis
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
...	any other passthru parameters
fill	a three-component vector or list (recycled otherwise) providing filling values at the left/within/to the right of the data range. See the fill argument of na.fill for details.

Details

The previous parameter na.pad has been replaced with fill; use fill = NA instead of na.pad = TRUE, or fill = NULL instead of na.pad = FALSE.

Author(s)

Peter Carl

Examples

# First we get the data
data(managers)
chart.RollingCorrelation(managers[, 1:6, drop=FALSE], 
		managers[, 8, drop=FALSE], 
		colorset=rich8equal, legend.loc="bottomright", 
		width=24, main = "Rolling 12-Month Correlation")

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