charts.PerformanceSummary: Create combined wealth index, period performance, and...

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

Description

For a set of returns, create a wealth index chart, bars for per-period performance, and underwater chart for drawdown.

Usage

charts.PerformanceSummary(R, Rf = 0, main = NULL, geometric = TRUE,
  methods = "none", width = 0, event.labels = NULL, ylog = FALSE,
  wealth.index = FALSE, gap = 12, begin = c("first", "axis"),
  legend.loc = "topleft", p = 0.95, ...)

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
p	confidence level for calculation, default p=.95
main	set the chart title, as in plot
geometric	utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE
methods	Used to select the risk parameter of trailing width returns to use in the chart.BarVaR panel: May be any of: None - does not add a line, ModifiedVaR - uses Cornish-Fisher modified VaR, GaussianVaR - uses traditional Value at Risk, HistoricalVaR - calculates historical Value at Risk, ModifiedES - uses Cornish-Fisher modified Expected Shortfall, GaussianES - uses traditional Expected Shortfall, HistoricalES - calculates historical Expected Shortfall, StdDev - per-period standard deviation
begin	Align shorter series to: first - prior value of the first column given for the reference or longer series or, axis - the initial value (1 or zero) of the axis. passthru to chart.CumReturns
event.labels	TRUE/FALSE whether or not to display lines and labels for historical market shock events
wealth.index	if wealth.index is TRUE, shows the "value of $1", starting the cumulation of returns at 1 rather than zero
width	number of periods to apply rolling function window over
gap	numeric number of periods from start of series to use to train risk calculation
ylog	TRUE/FALSE set the y-axis to logarithmic scale, similar to plot, default FALSE
legend.loc	sets the legend location in the top chart. Can be set to NULL or nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
...	any other passthru parameters

Note

Most inputs are the same as "plot" and are principally included so that some sensible defaults could be set.

Author(s)

Peter Carl

See Also

chart.CumReturns
chart.BarVaR
chart.Drawdown

Examples

data(edhec)
charts.PerformanceSummary(edhec[,c(1,13)])

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