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.
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,
...
)an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
risk free rate, in same period as your returns
set the chart title, same as in plot
plots the row name with the data point. default TRUE. Can be removed by setting it to NULL
set the x-axis label, as in plot
set the y-axis label, as in plot
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. Other method cases may be set for different risk/return calculations.
utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE
number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)
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 appropriate (e.g., sharpe.ratio = NULL).
TRUE/FALSE adds a boxplot summary of the data on the axis
color palette to use, set by default to rational choices
from pch in plot, submit a set of
symbols to be used in the same order as the data sets submitted
provides the color for drawing chart elements, such as the box lines, axis lines, etc. Default is "darkgray"
places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
set the x-axis limit, same as in plot
set the y-axis limit, same as in plot
The magnification to be used for sizing the legend relative to the current setting of 'cex'.
The magnification to be used for axis annotation relative to
the current setting of 'cex', same as in plot.
The magnification to be used for sizing the title relative to the current setting of 'cex'.
The magnification to be used for x and y labels relative to the current setting of 'cex'.
any other passthru parameters to plot
# NOT RUN {
data(edhec)
chart.RiskReturnScatter(edhec, Rf = .04/12)
chart.RiskReturnScatter(edhec, Rf = .04/12, add.boxplots = TRUE)
# }
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