Create combined wealth index, period performance, and drawdown chart

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Description

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

Usage

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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

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

width

number of periods to apply rolling function window over

event.labels

TRUE/FALSE whether or not to display lines and labels for historical market shock events

ylog

TRUE/FALSE set the y-axis to logarithmic scale, similar to plot, default FALSE

wealth.index

if wealth.index is TRUE, shows the "value of $1", starting the cumulation of returns at 1 rather than zero

gap

numeric number of periods from start of series to use to train risk calculation

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

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.

p

confidence level for calculation, default p=.95

...

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

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