chart risk versus return over rolling time periods

A chart that shows rolling calculations of annualized return and annualized standard deviation have proceeded through time. Lines and dots are darker for more recent time periods.

chart.SnailTrail(R, Rf = 0, main = "Annualized Return and Risk",
  add.names = c("all", "lastonly", "firstandlast", "none"),
  xlab = "Annualized Risk", ylab = "Annualized Return", add.sharpe = c(1,
  2, 3), colorset = 1:12, symbolset = 16, legend.loc = NULL,
  xlim = NULL, ylim = NULL, width = 12, stepsize = 12, lty = 1,
  lwd = 2, cex.axis = 0.8, cex.main = 1, cex.lab = 1, cex.text = 0.8,
  cex.legend = 0.8, element.color = "darkgray", ...)

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, 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
add.sharpe

this draws a Sharpe ratio line that indicates Sharpe ratio levels of c(1,2,3). Lines are drawn with a y-intercept of the risk free rate and the slope of the appropriate Sharpe ratio level. Lines should be removed where not appropriate (e.g., sharpe.ratio = NULL).
colorset

color palette to use, set by default to rational choices
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
width

number of periods to apply rolling calculations over, sometimes referred to as a 'window'
stepsize

the frequency with which to make the rolling calculation
lty

set the line type, same as in plot
lwd

set the line width, same as in plot
cex.axis

The magnification to be used for sizing the axis text relative to the current setting of 'cex', similar to plot.
cex.main

The magnification to be used for sizing the main chart relative to the current setting of 'cex', as in plot.
cex.lab

The magnification to be used for sizing the label relative to the current setting of 'cex', similar to plot.
cex.text

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

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

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

any other passthru parameters

References

~put references to the literature/web site here ~

See also

chart.RiskReturnScatter

Examples


data(managers)
chart.SnailTrail(managers[,c("HAM2","SP500 TR"),drop=FALSE],
                width=36, stepsize=12,
                colorset=c('red','orange'),
                add.names="firstandlast",
                rf=.04/12,
                main="Trailing 36-month Performance Calc'd Every 12 Months")