charts.RollingPerformance

rolling performance chart

A wrapper to create a rolling annualized returns chart, rolling annualized standard deviation chart, and a rolling annualized sharpe ratio chart.

Keywords
multivariate, models, hplot, distribution, ts
Usage
charts.RollingPerformance(R, width = 12, Rf = 0,
    main = NULL, event.labels = NULL, legend.loc = NULL,
    ...)
Arguments
R
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
width
number of periods to apply rolling function over
Rf
risk free rate, in same period as your returns
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.
...
any other passthru parameters
See Also

chart.RollingPerformance

Aliases
  • charts.RollingPerformance
Examples
data(managers)
charts.RollingPerformance(managers[,1:8], Rf=managers[,10,drop=FALSE], colorset=tim8equal, main="Rolling 12-Month Performance", legend.loc="topleft")
Documentation reproduced from package PerformanceAnalytics, version 1.1.0, License: GPL

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