Create combined wealth index, period performance, and drawdown chart

For a set of returns, create a wealth index chart, bars for per-period performance, and underwater chart for drawdown.

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

Note

Most inputs are the same as "plot" and are principally included so that some sensible defaults could be set.

See also

chart.CumReturns chart.BarVaR chart.Drawdown

Examples


data(edhec)
charts.PerformanceSummary(edhec[,c(1,13)])