PerformanceAnalytics (version 2.0.8)

chart.Regression: Takes a set of returns and relates them to a market benchmark in a scatterplot

Description

Uses a scatterplot to display the relationship of a set of returns to a market benchmark. Fits a linear model and overlays the resulting model. Also overlays a Loess line for comparison.

Usage

chart.Regression(
  Ra,
  Rb,
  Rf = 0,
  excess.returns = FALSE,
  reference.grid = TRUE,
  main = "Title",
  ylab = NULL,
  xlab = NULL,
  xlim = NA,
  colorset = 1:12,
  symbolset = 1:12,
  element.color = "darkgray",
  legend.loc = NULL,
  ylog = FALSE,
  fit = c("loess", "linear", "conditional", "quadratic"),
  span = 2/3,
  degree = 1,
  family = c("symmetric", "gaussian"),
  ylim = NA,
  evaluation = 50,
  legend.cex = 0.8,
  cex = 0.8,
  lwd = 2,
  ...
)

Arguments

Ra

a vector of returns to test, e.g., the asset to be examined

Rb

a matrix, data.frame, or timeSeries of benchmark(s) to test the asset against

Rf

risk free rate, in same period as the returns

excess.returns

logical; should excess returns be used?

reference.grid

if true, draws a grid aligned with the points on the x and y axes

main

set the chart title, same as in plot

ylab

set the y-axis title, same as in plot

xlab

set the x-axis title, same as in plot

xlim

set the x-axis limit, same as in plot

colorset

color palette to use

symbolset

symbols to use, see also 'pch' in plot

element.color

provides the color for drawing chart elements, such as the box lines, axis lines, etc. Default is "darkgray"

legend.loc

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

ylog

Not used

fit

for values of "loess", "linear", or "conditional", plots a line to fit the data. Conditional lines are drawn separately for positive and negative benchmark returns. "Quadratic" is not yet implemented.

span

passed to loess line fit, as in loess.smooth

degree

passed to loess line fit, as in loess.smooth

family

passed to loess line fit, as in loess.smooth

ylim

set the y-axis limit, same as in plot

evaluation

passed to loess line fit, as in loess.smooth

legend.cex

set the legend size

cex

set the cex size, same as in plot

lwd

set the line width for fits, same as in lines

...

any other passthru parameters to plot

Author

Peter Carl

References

Chapter 7 of Ruppert(2004) gives an extensive overview of CAPM, its assumptions and deficiencies.

See Also

plot

Examples

data(managers)
chart.Regression(managers[, 1:2, drop = FALSE], 
		managers[, 8, drop = FALSE], 
		Rf = managers[, 10, drop = FALSE], 
		excess.returns = TRUE, fit = c("loess", "linear"), 
		legend.loc = "topleft")