chart.RollingRegression: A wrapper to create charts of relative regression performance through time

Description

A wrapper to create a chart of relative regression performance through time

A group of charts in charts.RollingRegression displays alpha, beta, and R-squared estimates in three aligned charts in a single device.

Usage

chart.RollingRegression(Ra, Rb, width = 12, Rf = 0, attribute = c("Beta", "Alpha", "R-Squared"), main=NULL, na.pad = TRUE, ...)
chart.RollingQuantileRegression(Ra, Rb, width = 12, Rf = 0, attribute = c("Beta", "Alpha", "R-Squared"), main=NULL, na.pad = TRUE, ...)
charts.RollingRegression(Ra, Rb, width = 12, Rf = 0, main = NULL, legend.loc = NULL, event.labels = NULL, ...)

Arguments

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

return vector of the benchmark asset

risk free rate, in same period as your returns

width

number of periods to apply rolling function window over

attribute

one of "Beta","Alpha","R-Squared" for which attribute to show

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.

na.pad

TRUE/FALSE If TRUE it adds any times that would not otherwise have been in the result with a value of NA. If FALSE those times are dropped.

...

any other passthru parameters to chart.TimeSeries

Details

The attribute parameter is probably the most confusing. In mathematical terms, the different choices yield the following:

Alpha - shows the y-intercept Beta - shows the slope of the regression line R-Squared - shows the degree of fit of the regression to the data chart.RollingQuantileRegression uses rq rather than lm for the regression, and may be more robust to outliers in the data.

Examples

Run this code

# First we load the data
data(managers)
chart.RollingRegression(managers[, 1, drop=FALSE], managers[, 8, drop=FALSE], Rf = .04/12)
charts.RollingRegression(managers[, 1:6], managers[, 8, drop=FALSE], Rf = .04/12, colorset = rich6equal, legend.loc="topleft")
dev.new()
chart.RollingQuantileRegression(managers[, 1, drop=FALSE], managers[, 8, drop=FALSE], Rf = .04/12)
# not implemented yet
#charts.RollingQuantileRegression(managers[, 1:6], managers[, 8, drop=FALSE], Rf = .04/12, colorset = rich6equal, legend.loc="topleft")

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