PerformanceAnalytics (version 0.9.5)

chart.RollingRegression: A wrapper to create charts of relative regression performance through time

Description

A wrapper to create a chart of relative regression performance through time

A group of charts in charts.RollingRegression displays alpha, beta, and R-squared estimates in three aligned charts in a single device.

Usage

chart.RollingRegression(Ra, Rb, width = 12, rf = 0, attribute = c("Beta","Alpha","R-Squared"), main = paste("Rolling ", width, "-Month ", attribute, sep = ""), xaxis = TRUE, colorset = (1:12), legend.loc = NULL, na.pad = TRUE, ...)
charts.RollingRegression(Ra, Rb, width = 12, rf = 0, darken = FALSE, main = NULL, ...)

Arguments

Ra

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

Rb

return vector of the benchmark asset

rf

risk free rate, in same period as your returns

width

number of periods to apply rolling function window over

attribute

one of "Beta","Alpha","R-Squared" for which attribute to show

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

darken

TRUE/FALSE whether or not to darken the color palette for better printing on some printers

legend.loc

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

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

• A timeseries line chart of the calculated series

Details

The atribute parameter is probably the most confusing. In mathematical terms, the different choices yeild the following:

Alpha - shows the y-intercept Beta - shows the slope of the regression line R-Squared - shows the degree of fit of the regression to the data

See Also

chart.RegressionDiagnostics

Examples

# First we load 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))
rf.zoo = download.RiskFree(start = start, end = end)
sp500.zoo = download.SP500PriceReturns(start = "1996-12-31", end = end)

# Now we have to align it as "monthly" data
time(edhec.zoo) = as.yearmon(time(edhec.zoo))
time(sp500.zoo) = as.yearmon(time(sp500.zoo))
time(rf.zoo) = as.yearmon(time(rf.zoo))
data.zoo = merge(edhec.zoo[,9,drop=FALSE],sp500.zoo)
time(data.zoo) = as.Date(time(data.zoo),format="%b %Y")
time(rf.zoo) = as.Date(time(rf.zoo),format="%b %Y")

chart.RollingRegression(data.zoo[, 1, drop=FALSE], data.zoo[, 2, drop=FALSE], rf = rf.zoo)
charts.RollingRegression(data.zoo[, 1, drop=FALSE], data.zoo[, 2, drop=FALSE], rf = rf.zoo)