chart rolling correlation fo multiple assets — chart.RollingCorrelation • PerformanceAnalytics

A wrapper to create a chart of rolling correlation metrics in a line chart

chart.RollingCorrelation(
  Ra,
  Rb,
  width = 12,
  xaxis = TRUE,
  legend.loc = NULL,
  colorset = (1:12),
  ...,
  fill = NA
)

Arguments

Ra: an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
Rb: return vector of the benchmark asset
width: number of periods to apply rolling function window over
xaxis: if true, draws the x axis
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
...: any other passthru parameters
fill: a three-component vector or list (recycled otherwise) providing filling values at the left/within/to the right of the data range. See the fill argument of na.fill for details.

Details

The previous parameter na.pad has been replaced with fill; use fill = NA instead of na.pad = TRUE, or fill = NULL instead of na.pad = FALSE.

Author

Peter Carl

Examples


# First we get the data
data(managers)
chart.RollingCorrelation(managers[, 1:6, drop=FALSE], 
    managers[, 8, drop=FALSE], 
    colorset=rich8equal, legend.loc="bottomright", 
    width=24, main = "Rolling 12-Month Correlation")