chart.CumReturns: Cumulates and graphs a set of periodic returns

In naturalsmen/PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

Chart that cumulates the periodic returns given and draws a line graph of the results as a "wealth index".

Usage

chart.CumReturns(R, wealth.index = FALSE, geometric = TRUE,
  legend.loc = NULL, colorset = (1:12), begin = c("first", "axis"), ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
wealth.index	if wealth.index is TRUE, shows the "value of $1", starting the cumulation of returns at 1 rather than zero
geometric	utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE
legend.loc	places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
colorset	color palette to use, set by default to rational choices
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.
...	any other passthru parameters

Details

Cumulates the return series and displays either as a wealth index or as cumulative returns.

Author(s)

Peter Carl

References

Bacon, Carl. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004.

See Also

chart.TimeSeries
plot

Examples

data(edhec)
chart.CumReturns(edhec[,"Funds of Funds"],main="Cumulative Returns")
chart.CumReturns(edhec[,"Funds of Funds"],wealth.index=TRUE, main="Growth of $1")
data(managers)
chart.CumReturns(managers,main="Cumulative Returns",begin="first")
chart.CumReturns(managers,main="Cumulative Returns",begin="axis")

naturalsmen/PerformanceAnalytics documentation built on May 23, 2019, 12:20 p.m.