chart.Regression {PerformanceAnalytics} | R Documentation

## Takes a set of returns and relates them to a market benchmark in a scatterplot

### Description

Uses a scatterplot to display the relationship of a set of returns to a market benchmark. Fits a linear model and overlays the resulting model. Also overlays a Loess line for comparison.

### Usage

    chart.Regression(Ra, Rb, Rf = 0, excess.returns = FALSE,
      reference.grid = TRUE, main = "Title", ylab = NULL, xlab = NULL,
      xlim = NA, colorset = 1:12, symbolset = 1:12,
      element.color = "darkgray", legend.loc = NULL, ylog = FALSE,
      fit = c("loess", "linear", "conditional", "quadratic"), span = 2/3,
      degree = 1, family = c("symmetric", "gaussian"), ylim = NA,
      evaluation = 50, legend.cex = 0.8, cex = 0.8, lwd = 2, ...)

### Arguments

`Ra` | a vector of returns to test, e.g., the asset to be examined
`Rb` | a matrix, data.frame, or timeSeries of benchmark(s) to test the asset against
`Rf` | risk free rate, in same period as the returns
`excess.returns` | logical; should excess returns be used?
`reference.grid` | if true, draws a grid aligned with the points on the x and y axes
`main` | set the chart title, same as in `plot`
`ylab` | set the y-axis title, same as in `plot`
`xlab` | set the x-axis title, same as in `plot`
`xlim` | set the x-axis limit, same as in `plot`
`colorset` | color palette to use
`symbolset` | symbols to use, see also 'pch' in `plot`
`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.
`ylog` | Not used
`fit` | for values of "loess", "linear", or "conditional", plots a line to fit the data. Conditional lines are drawn separately for positive and negative benchmark returns. "Quadratic" is not yet implemented.
`span` | passed to loess line fit, as in `loess.smooth`
`degree` | passed to loess line fit, as in `loess.smooth`
`family` | passed to loess line fit, as in `loess.smooth`
`ylim` | set the y-axis limit, same as in `plot`
`evaluation` | passed to loess line fit, as in `loess.smooth`
`legend.cex` | set the legend size
`cex` | set the cex size, same as in `plot`
`lwd` | set the line width for fits, same as in `lines`
`...` | any other passthru parameters to `plot`

### Author(s)

Peter Carl

### References

Chapter 7 of Ruppert(2004) gives an extensive overview of CAPM, its assumptions and deficiencies.

### See Also

`plot`

### Examples

    data(managers)
    chart.Regression(managers[, 1:2, drop = FALSE],
    		managers[, 8, drop = FALSE],
    		Rf = managers[, 10, drop = FALSE],
    		excess.returns = TRUE, fit = c("loess", "linear"),
    		legend.loc = "topleft")

[Package PerformanceAnalytics version 1.5.3 Index]