chartCusum: cusumActMgr Plots

In sangeeuw/factorAnalytics_Avinash: Factor Analytics

Description

Plot the elements of an cusumActMgr object. The EWMA tracking errors are computed month-to-month by the simple weighted average of the "log-excess returns" volatility and its former (adjacent) time period volatility. The excess volatility is the EWMA tracking error difference from the portfolio returns EWMA tracking error and the benchmark returns EWMA tracking error. Annualized IR is computed by using the monthly log-excess returns and the annualized EWMA tracking errors.

Usage

chartCusum(object, digits = 3, which = NULL, ...)

Arguments

object	An object of class cusumActMgr returned by cusumActMgr.
digits	The number of digits of numerical values in graphs
which	A number or a vector of numbers to indicate the type of plots. If a subset of the plots is required, specify a subset of the numbers 1 and 2 for plots. The numbers 1 and 2 represent: 1 = Barplot of log-excess returns with annually moving average returns, plot of tracking error, Plot of excess volatility, and Plot of cusum for returns with protractors of slopes representing the annualized returns, 2 = Barplot of the information ratio, plot of cusumIR with protractors of slopes with corresponding IR, and a plot of Lindley's Recursion with the thresholds, and a scatter plot between the fund and benchmark returns with robust regression
...	other graphics parameters in plot

Value

Graph(s) as specified by the user.

Author(s)

Chindhanai Uthaisaad

Examples

data("cusumData")
results = cusumActMgr(portfolioName = "Parvest", benchmarkName = "RUS2500", data = cusumData)
chartCusum(results, which = 1)
chartCusum(results, which = c(1,2))

sangeeuw/factorAnalytics_Avinash documentation built on May 22, 2019, 2:48 p.m.