PerformanceAnalytics:: charts.PerformanceSummary 評價投資表現

PerformanceAnalytics:: charts.PerformanceSummary( ROC(sp500.monthly,n = 1, type = “discrete”),main = “S&P 500 (PerformanceAnalytics::charts.PerformanceSummary)”)

charts.PerformanceSummary {PerformanceAnalytics} R Documentation
Create combined wealth index, period performance, and drawdown chart

Description

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

Usage

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.

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)])