Usage
charts.PerformanceSummary(R, Rf = 0, main = NULL, geometric = TRUE, methods = "none", width = 0, event.labels = NULL, ylog = FALSE, wealth.index = FALSE, gap = 12, begin = c("first", "axis"), legend.loc = "topleft", p = 0.95, ...)
Arguments
R
an xts, 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
geometric
utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns,
default TRUE
methods
Used to select the risk parameter of trailing width
returns to use in the chart.BarVaR panel: May be any of:
- None - does not add a line,
- ModifiedVaR - uses
Cornish-Fisher modified VaR,
- GaussianVaR - uses traditional Value at
Risk,
- HistoricalVaR - calculates historical Value at Risk,
-
ModifiedES - uses Cornish-Fisher modified Expected Shortfall,
-
GaussianES - uses traditional Expected Shortfall,
- HistoricalES -
calculates historical Expected Shortfall,
- StdDev - per-period standard
deviation
width
number of periods to apply rolling function window over
event.labels
TRUE/FALSE whether or not to display lines and labels
for historical market shock events
ylog
TRUE/FALSE set the y-axis to logarithmic scale, similar to
plot, default FALSE wealth.index
if wealth.index is TRUE, shows the "value
of $1", starting the cumulation of returns at 1 rather than zero
gap
numeric number of periods from start of series to use to train
risk calculation
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
chart.CumReturns legend.loc
sets the legend location in the top chart. Can be set to
NULL or nine locations on the chart: bottomright, bottom, bottomleft, left,
topleft, top, topright, right, or center.
p
confidence level for calculation, default p=.95
...
any other passthru parameters