A wrapper to create a rolling annualized returns chart, rolling annualized standard deviation chart, and a rolling annualized sharpe ratio chart.
charts.RollingPerformance(R, width = 12, Rf = 0, main = NULL,
event.labels = NULL, legend.loc = NULL, ...)
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
number of periods to apply rolling function over
risk free rate, in same period as your returns
set the chart title, same as in plot
TRUE/FALSE whether or not to display lines and labels for historical market shock events
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
# NOT RUN {
data(managers)
charts.RollingPerformance(managers[,1:8],
Rf=managers[,10,drop=FALSE],
colorset=tim8equal,
main="Rolling 12-Month Performance",
legend.loc="topleft")
# }
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