PerformanceAnalytics (version 0.9.5)

chart.RollingCorrelation: chart rolling correlation fo multiple assets

Description

A wrapper to create a chart of rolling correlation metrics in a line chart

Usage

chart.RollingCorrelation(Ra, Rb, width = 12, xaxis = TRUE, legend.loc = NULL, colorset = (1:12), na.pad = FALSE, ...)

Arguments

Ra

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

Rb

return vector of the benchmark asset

width

number of periods to apply rolling function window over

xaxis

if true, draws the x axis

legend.loc

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

colorset

color palette to use, set by default to rational choices

na.pad

TRUE/FALSE If TRUE it adds any times that would not otherwise have been in the result with a value of NA. If FALSE those times are dropped.

...

any other passthru parameters

Value

• chart rolling period correlations of one or more assets

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.RollingCorrelation(data.zoo[, 1, drop=FALSE], data.zoo[, 2, drop=FALSE], colorset=rich8equal, legend.loc="bottomright", lwd=2, width=24)