chart.RelativePerformance: relative performance chart between multiple return series

In guillermozbta/portafolio-master: Econometric tools for performance and risk analysis.

Description

Plots a time series chart that shows the ratio of the cumulative performance for two assets at each point in time and makes periods of under- or out-performance easier to see.

Usage

chart.RelativePerformance(Ra, Rb, main = "Relative Performance",
  xaxis = TRUE, colorset = (1:12), legend.loc = NULL, ylog = FALSE,
  elementcolor = "darkgray", lty = 1, cex.legend = 0.7, ...)

Arguments

Ra	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
Rb	return vector of the benchmark asset
main	set the chart title, same as in plot
xaxis	if true, draws the x axis
colorset	color palette to use, set by default to rational choices
elementcolor	provides the color for drawing less-important chart elements, such as the box lines, axis lines, etc. replaces darken
legend.loc	places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
ylog	TRUE/FALSE set the y-axis to logarithmic scale, similar to plot, default FALSE
cex.legend	the magnification to be used for sizing the legend relative to the current setting of 'cex'.
lty	set the line type, same as in plot
...	any other passthru parameters

Details

To show under- and out-performance through different periods of time, a time series view is more helpful. The value of the chart is less important than the slope of the line. If the slope is positive, the first asset (numerator) is outperforming the second, and vice versa. May be used to look at the returns of a fund relative to each member of the peer group and the peer group index. Alternatively, it might be used to assess the peers individually against an asset class or peer group index.

Author(s)

Peter Carl

See Also

Return.relative

Examples

data(managers)
chart.RelativePerformance(managers[, 1:6, drop=FALSE],
		managers[, 8, drop=FALSE],
		colorset=rich8equal, legend.loc="bottomright",
		main="Relative Performance to S&P")

guillermozbta/portafolio-master documentation built on May 11, 2019, 7:20 p.m.