Cumulates and graphs a set of periodic returns

Source: R/chart.CumReturns.R

Chart that cumulates the periodic returns given and draws a line graph of the results as a "wealth index".

chart.CumReturns(
  R,
  wealth.index = FALSE,
  geometric = TRUE,
  legend.loc = NULL,
  colorset = (1:12),
  begin = c("first", "axis"),
  plot.engine = "default",
  ...
)

Arguments

R

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

wealth.index

if wealth.index is TRUE, shows the "value of $1", starting the cumulation of returns at 1 rather than zero

geometric

utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE

legend.loc

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

colorset

color palette to use, set by default to rational choices

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.

plot.engine

choose the plot engine you wish to use" ggplot2, plotly,dygraph,googlevis and default

...

any other passthru parameters

Details

Cumulates the return series and displays either as a wealth index or as cumulative returns.

References

Bacon, Carl. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004.

Author

Peter Carl

Examples


data(edhec)
chart.CumReturns(edhec[,"Funds of Funds"],main="Cumulative Returns")

chart.CumReturns(edhec[,"Funds of Funds"],wealth.index=TRUE, main="Growth of $1")

data(managers)
chart.CumReturns(managers,main="Cumulative Returns",begin="first")

chart.CumReturns(managers,main="Cumulative Returns",begin="axis")