rolling performance chart

A wrapper to create a rolling annualized returns chart, rolling annualized standard deviation chart, and a rolling annualized sharpe ratio chart.

charts.RollingPerformance(R, width = 12, Rf = 0, main = NULL,
  event.labels = NULL, legend.loc = NULL, ...)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
width

number of periods to apply rolling function over
Rf

risk free rate, in same period as your returns
main

set the chart title, same as in plot
event.labels

TRUE/FALSE whether or not to display lines and labels for historical market shock events
legend.loc

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

any other passthru parameters

See also

chart.RollingPerformance

Examples


data(managers)
charts.RollingPerformance(managers[,1:8],
                          Rf=managers[,10,drop=FALSE],
                          colorset=tim8equal,
                          main="Rolling 12-Month Performance",
                          legend.loc="topleft")