Usage
charts.PerformanceSummary(R, rf = 0, main = NULL, method = c("ModifiedVaR","VaR","StdDev"),
width = 0, event.labels = NULL, ylog = FALSE,
wealth.index = FALSE, gap = 12, begin = c("first", "axis"), ...)Arguments
R
a vector, matrix, data frame, timeSeries or zoo object of asset returns
rf
risk free rate, in same period as your returns
main
set the chart title, as in plot
method
Used to select the risk parameter to use in the chart.BarVaR.
May be any of:
- modifiedVaR - uses Cornish-Fisher modified VaR,
- VaR - uses traditional Value at Risk,
- StdDev - monthly standard deviation of trailing 12 month ret
begin
Align shorter series to:
- first - prior value of the first column given for the reference or longer series or,
- axis - the initial value (1 or zero) of the axis.
passthru to c event.labels
TRUE/FALSE whether or not to display lines and labels for historical market shock events
wealth.index
if wealth.index is TRUE, shows the "value of $1", starting the cumulation of returns at 1 rather than zero
width
number of periods to apply rolling function window over
gap
numeric number of periods from start of series to use to train risk calculation
ylog
TRUE/FALSE set the y-axis to logarithmic scale, similar to plot, default FALSE ...
any other passthru parameters