PerformanceAnalytics (version 2.0.8)

chart.CaptureRatios: Chart of Capture Ratios against a benchmark

Description

Scatter plot of Up Capture versus Down Capture against a benchmark

Usage

chart.CaptureRatios(
  Ra,
  Rb,
  main = "Capture Ratio",
  add.names = TRUE,
  xlab = "Downside Capture",
  ylab = "Upside Capture",
  colorset = 1,
  symbolset = 1,
  legend.loc = NULL,
  xlim = NULL,
  ylim = NULL,
  cex.legend = 1,
  cex.axis = 0.8,
  cex.main = 1,
  cex.lab = 1,
  element.color = "darkgray",
  benchmark.color = "darkgray",
  ...
)

Arguments

Ra

Returns to test, e.g., the asset to be examined

Rb

Returns of a benchmark to compare the asset with

main

Set the chart title, same as in plot

add.names

Plots the row name with the data point. Default TRUE. Can be removed by setting it to NULL

xlab

Set the x-axis label, as in plot

ylab

Set the y-axis label, as in plot

colorset

Color palette to use, set by default to "black"

symbolset

From pch in plot. Submit a set of symbols to be used in the same order as the data sets submitted

legend.loc

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

xlim

set the x-axis limit, same as in plot

ylim

set the y-axis limit, same as in plot

cex.legend

The magnification to be used for sizing the legend relative to the current setting of 'cex'.

cex.axis

The magnification to be used for axis annotation relative to the current setting of 'cex', same as in plot.

cex.main

The magnification to be used for sizing the title relative to the current setting of 'cex'.

cex.lab

The magnification to be used for x and y labels relative to the current setting of 'cex'.

element.color

Specify the color of the box, axes, and other chart elements. Default is "darkgray"

benchmark.color

Specify the color of the benchmark reference and crosshairs. Default is "darkgray"

...

Any other passthru parameters to plot

Author

Peter Carl

Details

Scatter plot shows the coordinates of each set of returns' Up and Down Capture against a benchmark. The benchmark value is by definition plotted at (1,1) with solid crosshairs. A diagonal dashed line with slope equal to 1 divides the plot into two regions: above that line the UpCapture exceeds the DownCapture, and vice versa.

See Also

plot,
par,
UpDownRatios,
table.UpDownRatios

Examples

    data(managers)
    chart.CaptureRatios(managers[,1:6], managers[,7,drop=FALSE])