PerformanceAnalytics (version 0.9.7.1)

chart.RelativePerformance: relative performance chart between multiple return series

Description

A wrapper to create a chart of relative returns through time

Usage

chart.RelativePerformance(Ra, Rb, main = "Relative Performance", xaxis = TRUE, colorset = (1:12), legend.loc = NULL, ylog = FALSE, elementcolor = "darkgray", lty = 1, cex.legend=0.7, ...)

Arguments

Ra

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

Rb

return vector of the benchmark asset

main

set the chart title, same as in plot

xaxis

if true, draws the x axis

colorset

color palette to use, set by default to rational choices

elementcolor

provides the color for drawing less-important chart elements, such as the box lines, axis lines, etc. replaces darken

legend.loc

places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.

ylog

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

cex.legend

the magnification to be used for sizing the legend relative to the current setting of 'cex'.

lty

set the line type, same as in plot

...

any other passthru parameters

Value

• chart of relative returns

Examples

# First we get the data
data(edhec)
edhec.length = dim(edhec)[1]
start = rownames(edhec[1,])
start
end = rownames(edhec[edhec.length,])

edhec.zoo = zoo(edhec, order.by = rownames(edhec))
sp500.zoo = download.SP500PriceReturns(start = "1996-12-31", end = end)

# Then align the dates as "monthly" data
time(edhec.zoo) = as.yearmon(time(edhec.zoo))
time(sp500.zoo) = as.yearmon(time(sp500.zoo))
data.zoo = merge(edhec.zoo[,9,drop=FALSE],sp500.zoo)
time(data.zoo) = as.Date(time(data.zoo),format="%b %Y")

# Finally, plot it
chart.RelativePerformance(data.zoo[, 1, drop=FALSE], data.zoo[, 2, drop=FALSE], colorset=rich8equal, legend.loc="bottomright", lwd=2)