chart.SnailTrail: chart risk versus return over rolling time periods

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

Description

A chart that shows rolling calculations of annualized return and annualized standard deviation have proceeded through time. Lines and dots are darker for more recent time periods.

Usage

chart.SnailTrail(R, Rf = 0, main = "Annualized Return and Risk",
  add.names = c("all", "lastonly", "firstandlast", "none"),
  xlab = "Annualized Risk", ylab = "Annualized Return", add.sharpe = c(1,
  2, 3), colorset = 1:12, symbolset = 16, legend.loc = NULL,
  xlim = NULL, ylim = NULL, width = 12, stepsize = 12, lty = 1,
  lwd = 2, cex.axis = 0.8, cex.main = 1, cex.lab = 1, cex.text = 0.8,
  cex.legend = 0.8, element.color = "darkgray", ...)

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
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).
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
cex.legend	The magnification to be used for sizing the legend relative to the current setting of 'cex'.
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
width	number of periods to apply rolling calculations over, sometimes referred to as a 'window'
stepsize	the frequency with which to make the rolling calculation
lty	set the line type, same as in plot
lwd	set the line width, same as in plot
cex.lab	The magnification to be used for sizing the label relative to the current setting of 'cex', similar to plot.
cex.main	The magnification to be used for sizing the main chart relative to the current setting of 'cex', as in plot.
cex.axis	The magnification to be used for sizing the axis text relative to the current setting of 'cex', similar to plot.
cex.text	The magnification to be used for sizing the text relative to the current setting of 'cex', similar to plot.
...	any other passthru parameters

Author(s)

Peter Carl

References

~put references to the literature/web site here ~

See Also

chart.RiskReturnScatter

Examples

data(managers)
chart.SnailTrail(managers[,c("HAM2","SP500 TR"),drop=FALSE],
		width=36, stepsize=12,
		colorset=c('red','orange'),
		add.names="firstandlast",
		rf=.04/12,
		main="Trailing 36-month Performance Calc'd Every 12 Months")

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