chart.RiskReturnScatter

scatter chart of returns vs risk for comparing multiple instruments

A wrapper to create a scatter chart of annualized returns versus annualized risk (standard deviation) for comparing manager performance. Also puts a box plot into the margins to help identify the relative performance quartile.

Keywords
multivariate, models, hplot, distribution, ts
Usage
chart.RiskReturnScatter(R, Rf = 0,
    main = "Annualized Return and Risk", add.names = TRUE,
    xlab = "Annualized Risk", ylab = "Annualized Return",
    method = "calc", geometric = TRUE, scale = NA,
    add.sharpe = c(1, 2, 3), add.boxplots = FALSE,
    colorset = 1, symbolset = 1,
    element.color = "darkgray", legend.loc = NULL,
    xlim = NULL, ylim = NULL, cex.legend = 1,
    cex.axis = 0.8, cex.main = 1, cex.lab = 1, ...)
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
scale
number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)
geometric
utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE
main
set the chart title, same as in plot
add.names
plots the row name with the data point. default TRUE. Can be removed by setting it to NULL
xlab
set the x-axis label, as in plot
ylab
set the y-axis label, as in plot
method
if set as "calc", then the function will calculate values from the set of returns passed in. If method is set to "nocalc" then we assume that R is a column of return and a column of risk (e.g., annualized returns, annualized risk), in that order.
add.sharpe
this draws a Sharpe ratio line that indicates Sharpe ratio levels of c(1,2,3). Lines are drawn with a y-intercept of the risk free rate and the slope of the appropriate Sharpe ratio level. Lines should be removed where not appropria
add.boxplots
TRUE/FALSE adds a boxplot summary of the data on the axis
colorset
color palette to use, set by default to rational choices
symbolset
from pch in plot, submit a set of symbols to be used in the same order as the data sets submitted
element.color
provides the color for drawing chart elements, such as the box lines, axis lines, etc. Default is "darkgray"
legend.loc
places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
xlim
set the x-axis limit, same as in plot
ylim
set the y-axis limit, same as in plot
cex.axis
The magnification to be used for axis annotation relative to the current setting of 'cex', same as in plot.
cex.legend
The magnification to be used for sizing the legend relative to the current setting of 'cex'.
cex.main
The magnification to be used for sizing the title relative to the current setting of 'cex'.
cex.lab
The magnification to be used for x and y labels relative to the current setting of 'cex'.
...
any other passthru parameters to plot
Note

Code inspired by a chart on: http://zoonek2.free.fr/UNIX/48_R/03.html

Aliases
  • chart.RiskReturnScatter
Examples
data(edhec)
chart.RiskReturnScatter(edhec, Rf = .04/12)
chart.RiskReturnScatter(edhec, Rf = .04/12, add.boxplots = TRUE)
Documentation reproduced from package PerformanceAnalytics, version 1.1.0, License: GPL

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