chart.RiskReturnScatter {PerformanceAnalytics} | R Documentation

## scatter chart of returns vs risk for comparing multiple instruments

### Description

A wrapper to create a scatter chart of annualized returns versus annualized risk (standard deviation) for comparing manager performance. Also puts a box plot into the margins to help identify the relative performance quartile.

### Usage

    chart.RiskReturnScatter(R, Rf = 0, main = "Annualized Return and Risk",
      add.names = TRUE, xlab = "Annualized Risk",
      ylab = "Annualized Return", method = "calc", geometric = TRUE,
      scale = NA, add.sharpe = c(1, 2, 3), add.boxplots = FALSE,
      colorset = 1, symbolset = 1, element.color = "darkgray",
      legend.loc = NULL, xlim = NULL, ylim = NULL, cex.legend = 1,
      cex.axis = 0.8, cex.main = 1, cex.lab = 1, ...)

### 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, same as in `plot`
`add.names` | plots the row name with the data point. default TRUE. Can be removed by setting it to NULL
`xlab` | set the x-axis label, as in `plot`
`ylab` | set the y-axis label, as in `plot`
`method` | if set as "calc", then the function will calculate values from the set of returns passed in. If method is set to "nocalc" then we assume that R is a column of return and a column of risk (e.g., annualized returns, annualized risk), in that order. Other method cases may be set for different risk/return calculations.
`geometric` | utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE
`scale` | number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)
`add.sharpe` | this draws a Sharpe ratio line that indicates Sharpe ratio levels of `c(1,2,3)`. Lines are drawn with a y-intercept of the risk free rate and the slope of the appropriate Sharpe ratio level. Lines should be removed where not appropriate (e.g., sharpe.ratio = NULL).
`add.boxplots` | TRUE/FALSE adds a boxplot summary of the data on the axis
`colorset` | color palette to use, set by default to rational choices
`symbolset` | from `pch` in `plot`, submit a set of symbols to be used in the same order as the data sets submitted
`element.color` | provides the color for drawing chart elements, such as the box lines, axis lines, etc. Default is "darkgray"
`legend.loc` | places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
`xlim` | set the x-axis limit, same as in `plot`
`ylim` | set the y-axis limit, same as in `plot`
`cex.legend` | The magnification to be used for sizing the legend relative to the current setting of 'cex'.
`cex.axis` | The magnification to be used for axis annotation relative to the current setting of 'cex', same as in `plot`.
`cex.main` | The magnification to be used for sizing the title relative to the current setting of 'cex'.
`cex.lab` | The magnification to be used for x and y labels relative to the current setting of 'cex'.
`...` | any other passthru parameters to `plot`

### Note

Code inspired by a chart on: http://zoonek2.free.fr/UNIX/48_R/03.html

### Author(s)

Peter Carl

### Examples

    data(edhec)
    chart.RiskReturnScatter(edhec, Rf = .04/12)
    chart.RiskReturnScatter(edhec, Rf = .04/12, add.boxplots = TRUE)

[Package PerformanceAnalytics version 1.5.3 Index]