charts.RollingPerformance: rolling performance chart

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

Description

A wrapper to create a rolling annualized returns chart, rolling annualized standard deviation chart, and a rolling annualized sharpe ratio chart.

Usage

charts.RollingPerformance(R, width = 12, Rf = 0, main = NULL,
  event.labels = NULL, legend.loc = NULL, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
width	number of periods to apply rolling function over
Rf	risk free rate, in same period as your returns
main	set the chart title, same as in plot
event.labels	TRUE/FALSE whether or not to display lines and labels for historical market shock events
legend.loc	places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
...	any other passthru parameters

Author(s)

Peter Carl

See Also

chart.RollingPerformance

Examples

data(managers)
charts.RollingPerformance(managers[,1:8],
                          Rf=managers[,10,drop=FALSE],
                          colorset=tim8equal,
                          main="Rolling 12-Month Performance",
                          legend.loc="topleft")

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