Description Usage Arguments Value Author(s) Examples
Plot the elements of an cusumActMgr
object. The EWMA tracking errors are computed
month-to-month by the simple weighted average of the "log-excess returns" volatility and its former (adjacent) time period volatility.
The excess volatility is the EWMA tracking error difference from the portfolio returns EWMA tracking error
and the benchmark returns EWMA tracking error. Annualized IR is computed by using the monthly log-excess returns
and the annualized EWMA tracking errors.
1 | chartCusum(object, digits = 3, which = NULL, ...)
|
object |
An object of class |
digits |
The number of digits of numerical values in graphs |
which |
A number or a vector of numbers to indicate the type of plots.
If a subset of the plots is required, specify a subset of the numbers 1 and 2
for plots. The numbers 1 and 2 represent: |
... |
other graphics parameters in plot |
Graph(s) as specified by the user.
Chindhanai Uthaisaad
1 2 3 4 | data("cusumData")
results = cusumActMgr(portfolioName = "Parvest", benchmarkName = "RUS2500", data = cusumData)
chartCusum(results, which = 1)
chartCusum(results, which = c(1,2))
|
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