PerformanceAnalytics (version 2.0.4)

charts.RollingPerformance: rolling performance chart

Description

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

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

Examples

# NOT RUN {
if(!( Sys.info()[['sysname']]=="Windows") ){
# if on Windows, cut and paste this example

data(managers)
charts.RollingPerformance(managers[,1:8], 
                          Rf=managers[,10,drop=FALSE], 
                          colorset=tim8equal, 
                          main="Rolling 12-Month Performance", 
                          legend.loc="topleft")
}

# }