Issue with chart.RiskReturnScatter in performance analytics, need finite 'ylim' values error

[UTexas80]

I am currently trying to create a Risk Return Scatter plot using the following code:

x <- performance[x:y, portfolio.list]
chart.RiskReturnScatter(x, Rf = rf, main = "", cex.axis = 1.5, cex.lab = 1.5)

The performance[x:y, portfolio.list] dataframe is formatted as:

           HR Muni Bond HR Taxable Bond Composite Portfolio
2017-12-31           NA          -0.006       -0.0025071641
2018-03-31           NA          -0.003       -0.0012671892
2018-06-30           NA           0.007        0.0028773074
2018-09-30           NA          -0.001       -0.0004108567

I modified my code to replace the NA's with zeros thinking that this would correct the error:

x <- performance[x:y, portfolio.list]
x[is.na(performance[x:y, portfolio.list])] <- 0
chart.RiskReturnScatter(x, Rf=rf, main="", cex.axis = 1.5, cex.lab = 1.5)

Nope, that didn't fix the issue. I received the following error: "Error in checkData(R): The data cannot be converted into a time series. If you are trying to pass in names from a data object with one column, you should use the form 'data[rows, columns, drop = FALSE]'. Rownames should have standard date formats, such as '1985-03-15'."

I went back to the drawing board and added tk_xts to coerce the dataframe back to the xts format using this code:

x <- performance[x:y, portfolio.list]
x[is.na(performance[x:y, portfolio.list])] <- 0
chart.RiskReturnScatter(tk_xts(x, by 1), Rf=rf, main="", cex.axis = 1.5, cex.lab = 1.5)

I think I am up to strike 3. I now get this error: "Error in xts::xts(data, ...) : order.by requires an appropriate time-based object"

I am not sure where to proceed next. Any suggestions are greatly appreciated.
Thank you.

[joshuaulrich]

I cannot replicate an error using the simple example below. I tried using both the CRAN version and development version of PerformanceAnalytics.

library(PerformanceAnalytics)
data(managers)
x <- managers[, 2:4]
rf <- managers[, "US 3m TR"]
chart.RiskReturnScatter(x, Rf = rf, main = "", cex.axis = 1.5, cex.lab = 1.5)

Please provide a reproducible example and the output from sessionInfo(). It's not clear what the performance object truly is (xts/zoo, data.frame, tibble, etc),

Here is my sessionInfo():

R> sessionInfo()
R version 3.5.1 (2018-07-02)
Platform: x86_64-pc-linux-gnu (64-bit)
Running under: Ubuntu 18.04.1 LTS

Matrix products: default
BLAS: /usr/lib/x86_64-linux-gnu/blas/libblas.so.3.7.1
LAPACK: /usr/lib/x86_64-linux-gnu/lapack/liblapack.so.3.7.1

locale:
 [1] LC_CTYPE=en_US.UTF-8       LC_NUMERIC=C              
 [3] LC_TIME=en_US.UTF-8        LC_COLLATE=en_US.UTF-8    
 [5] LC_MONETARY=en_US.UTF-8    LC_MESSAGES=en_US.UTF-8   
 [7] LC_PAPER=en_US.UTF-8       LC_NAME=C                 
 [9] LC_ADDRESS=C               LC_TELEPHONE=C            
[11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=C       

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
[1] PerformanceAnalytics_1.5.2.2 xts_0.11-2.1                
[3] zoo_1.8-4                   

loaded via a namespace (and not attached):
[1] compiler_3.5.1  tools_3.5.1     grid_3.5.1      lattice_0.20-38
[5] quadprog_1.5-5 

---

I just noticed that you show data with only 4 rows. I'm not sure if that's for illustrative purposes, or if you are only passing 4 rows to chart.RiskReturnScatter().

y <- x[seq(0, nrow(x), 3),]
y <- y[1:4,]
y[, 1] <- NA
chart.RiskReturnScatter(y, Rf = rf, main = "", cex.axis = 1.5, cex.lab = 1.5) 
# Error in plot.window(...) : need finite 'xlim' values

The error is xlim instead of ylim, but that's an actual error close to your issue. Now to replace the NA with zero.

z <- y
z[,1] <- 0
chart.RiskReturnScatter(z, Rf = rf, main = "", cex.axis = 1.5, cex.lab = 1.5)

And the above code works. I have no idea what tk_xts() is, so I can't help with that.

I would be happy to continue investigating if you can provide a reproducible example.

[UTexas80]

Hi Joshua - I apologize for taking up your time with my shoddy example. I am still getting my feet wet but this became a great learning lesson for me. Here is I hope a better example. Thank you for your patience.

library("PerformanceAnalytics")

Periods <- c(1, 3, 5)
Plot <- 2L
Portfolios <- list(c(3, 5, 9), 9, NULL)
rf <- 0.009585192
risk.free.rate <- structure(c(0, 0.0016, 0.002, 0.0028, 0.0029, 0.0051, 
    0.0076, 0.0103, 0.0106, 0.0139, 0.0173, 0.0193, 0.0219), .Dim = c(13L, 
    1L), .Dimnames = list(NULL, "RiskFree"), index = structure(c(1443571200, 
    1451520000, 1459382400, 1467244800, 1475193600, 1483142400, 1490918400, 
    1498780800, 1506729600, 1514678400, 1522454400, 1530316800, 1538265600), 
    tzone = "UTC", tclass = "Date"), class = c("xts", "zoo"), .indexCLASS = "Date", 
    tclass = "Date", .indexTZ = "UTC", tzone = "UTC")

performance <- structure(c(0.011, 0.004, NA, NA, NA, NA, NA, NA, NA, NA, 
    NA, NA, NA, 0.012, 0.007, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, 
    NA, NA, 0.009, 0.01, -0.002, -0.017, 0.005, 0.0073, NA, 0, 0, 0, 0, 
    NA, NA, 0.011, 0.011, -0.001, -0.022, 0.014, 0.0117, NA, NA, NA, NA, 
    NA, NA, NA, NA, NA, NA, NA, NA, 0.008, 0.003, -0.006, -0.003, 0.007, 
    -0.001, NA, NA, NA, NA, NA, NA, NA, 0.0117, 0.006, -0.005, -0.006, 
    0.007, -0.001, NA, NA, NA, NA, NA, NA, NA, 0.0094, 0.006, -0.001, -0.01, 
    0.003, 0.006, NA, NA, NA, NA, NA, NA, NA, 0.0094, 0.00601457, -0.002, 
    -0.01, 1e-04, 0.002, 0.011, 0.004, 0, 0, 0, 0, 0, 0.0075690687367229, 
    0.00129339236892773, -0.00250716410500521, -0.00126718922198639, 0.00287730741378422, 
    -0.000410856687915031, 0.012, 0.007, 0, 0, 0, 0, 0, 0.0117, 0.00258678473785546, 
    -0.00208930342083768, -0.00253437844397278, 0.00287730741378422, -0.000410856687915031), 
    .Dim = c(13L, 10L), .Dimnames = list(NULL, c("HR Muni plus cash", "BofA ML 1-10 year AAA-A Muni", 
        "HR Muni Bond", "BofA ML 1-10 year AAA-A Muni", "HR Taxable Bond", 
        "BC Interm. Gov/Credit", "HR Muni w/o cash", "BofA ML 1-10 year AAA-A Muni", 
        "Composite Portfolio", "Composite Benchmark")), index = structure(c(1443571200, 
        1451520000, 1459382400, 1467244800, 1475193600, 1483142400, 1490918400, 
        1498780800, 1506729600, 1514678400, 1522454400, 1530316800, 1538265600), 
        tzone = "UTC", tclass = "Date"), class = c("xts", "zoo"), .indexCLASS = "Date", 
    tclass = "Date", .indexTZ = "UTC", tzone = "UTC")

portfolio <- structure(c(0.009, 0.01, -0.002, -0.017, 0.005, 0.0073, 0, 
    0, 0, 0), index = structure(c(1459382400, 1467244800, 1475193600, 1483142400, 
    1490918400, 1498780800, 1514678400, 1522454400, 1530316800, 1538265600), 
    tzone = "UTC", tclass = "Date"), .Dim = c(10L, 1L), .Dimnames = list(NULL, 
    "HR Muni Bond"), class = c("xts", "zoo"), .indexCLASS = "Date", tclass = "Date", 
    .indexTZ = "UTC", tzone = "UTC", na.action = structure(c(1L, 2L, 9L), 
        class = "omit", index = c(1443571200, 1451520000, 1506729600)))

num.quarters = nrow(performance)

# Risk Return Scatter Plots (1,3 & 5yr)
for (Plot in 1:length(Periods)) {
    
    Period.Qtr = Periods[Plot] * 4
    portfolio.list = Portfolios[[Plot]]
    
    if (length(portfolio.list) > 0) {
        x = num.quarters - Period.Qtr + 1
        y = num.quarters
        rf = as.numeric((1 + Return.annualized(risk.free.rate[x:y, ]))^0.25 - 
            1)
        layout(c(1, 1))
        chart.RiskReturnScatter(performance[x:y, portfolio.list][is.na(performance[x:y, 
            portfolio.list])] <- 0, Rf = rf, main = "", cex.axis = 1.5, 
            cex.lab = 1.5)
        
        p = captureplot()
        
    }
    
}

[UTexas80]

Session Info:

sessionInfo()
R version 3.5.1 (2018-07-02)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows 10 x64 (build 17763)

Matrix products: default

locale:
[1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United States.1252
[3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C
[5] LC_TIME=English_United States.1252

attached base packages:
[1] stats graphics grDevices utils datasets methods base

other attached packages:
[1] PerformanceAnalytics_1.5.2 xts_0.11-1 zoo_1.8-3
[4] RevoUtils_11.0.1 RevoUtilsMath_11.0.0

loaded via a namespace (and not attached):
[1] compiler_3.5.1 tools_3.5.1 grid_3.5.1 lattice_0.20-35 quadprog_1.5-5

[UTexas80]

Hi Joshua - I apologize for taking up your time with my shoddy example. I am still getting my feet wet but this became a great learning lesson for me. Here is I hope a better example. I have also attached the error dump log in this email because the file format is not supported in Github. Thank you for your patience. library("PerformanceAnalytics") Periods <- c(1, 3, 5) Plot <- 2L Portfolios <- list(c(3, 5, 9), 9, NULL) rf <- 0.009585192 risk.free.rate <- structure(c(0, 0.0016, 0.002, 0.0028, 0.0029, 0.0051, 0.0076, 0.0103, 0.0106, 0.0139, 0.0173, 0.0193, 0.0219), .Dim = c(13L, 1L), .Dimnames = list(NULL, "RiskFree"), index = structure(c(1443571200, 1451520000, 1459382400, 1467244800, 1475193600, 1483142400, 1490918400, 1498780800, 1506729600, 1514678400, 1522454400, 1530316800, 1538265600), tzone = "UTC", tclass = "Date"), class = c("xts", "zoo"), .indexCLASS = "Date", tclass = "Date", .indexTZ = "UTC", tzone = "UTC") performance <- structure(c(0.011, 0.004, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, 0.012, 0.007, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, 0.009, 0.01, -0.002, -0.017, 0.005, 0.0073, NA, 0, 0, 0, 0, NA, NA, 0.011, 0.011, -0.001, -0.022, 0.014, 0.0117, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, 0.008, 0.003, -0.006, -0.003, 0.007, -0.001, NA, NA, NA, NA, NA, NA, NA, 0.0117, 0.006, -0.005, -0.006, 0.007, -0.001, NA, NA, NA, NA, NA, NA, NA, 0.0094, 0.006, -0.001, -0.01, 0.003, 0.006, NA, NA, NA, NA, NA, NA, NA, 0.0094, 0.00601457, -0.002, -0.01, 1e-04, 0.002, 0.011, 0.004, 0, 0, 0, 0, 0, 0.0075690687367229, 0.00129339236892773, -0.00250716410500521, -0.00126718922198639, 0.00287730741378422, -0.000410856687915031, 0.012, 0.007, 0, 0, 0, 0, 0, 0.0117, 0.00258678473785546, -0.00208930342083768, -0.00253437844397278, 0.00287730741378422, -0.000410856687915031), .Dim = c(13L, 10L), .Dimnames = list(NULL, c("HR Muni plus cash", "BofA ML 1-10 year AAA-A Muni", "HR Muni Bond", "BofA ML 1-10 year AAA-A Muni", "HR Taxable Bond", "BC Interm. Gov/Credit", "HR Muni w/o cash", "BofA ML 1-10 year AAA-A Muni", "Composite Portfolio", "Composite Benchmark")), index = structure(c(1443571200, 1451520000, 1459382400, 1467244800, 1475193600, 1483142400, 1490918400, 1498780800, 1506729600, 1514678400, 1522454400, 1530316800, 1538265600), tzone = "UTC", tclass = "Date"), class = c("xts", "zoo"), .indexCLASS = "Date", tclass = "Date", .indexTZ = "UTC", tzone = "UTC") portfolio <- structure(c(0.009, 0.01, -0.002, -0.017, 0.005, 0.0073, 0, 0, 0, 0), index = structure(c(1459382400, 1467244800, 1475193600, 1483142400, 1490918400, 1498780800, 1514678400, 1522454400, 1530316800, 1538265600), tzone = "UTC", tclass = "Date"), .Dim = c(10L, 1L), .Dimnames = list(NULL, "HR Muni Bond"), class = c("xts", "zoo"), .indexCLASS = "Date", tclass = "Date", .indexTZ = "UTC", tzone = "UTC", na.action = structure(c(1L, 2L, 9L), class = "omit", index = c(1443571200, 1451520000, 1506729600))) num.quarters = nrow(performance) # Risk Return Scatter Plots (1,3 & 5yr) for (Plot in 1:length(Periods)) { Period.Qtr = Periods[Plot] * 4 portfolio.list = Portfolios[[Plot]] if (length(portfolio.list) > 0) { x = num.quarters - Period.Qtr + 1 y = num.quarters rf = as.numeric((1 + Return.annualized(risk.free.rate[x:y, ]))^0.25 - 1) layout(c(1, 1)) chart.RiskReturnScatter(performance[x:y, portfolio.list][is.na(performance[x:y, portfolio.list])] <- 0, Rf = rf, main = "", cex.axis = 1.5, cex.lab = 1.5) p = captureplot() } }

…

On Sun, Nov 18, 2018 at 7:56 AM Joshua Ulrich ***@***.***> wrote: I cannot replicate an error using the simple example below. I tried using both the CRAN version and development version of PerformanceAnalytics. library(PerformanceAnalytics) data(managers)x <- managers[, 2:4]rf <- managers[, "US 3m TR"] chart.RiskReturnScatter(x, Rf = rf, main = "", cex.axis = 1.5, cex.lab = 1.5) Please provide a reproducible example <https://stackoverflow.com/q/5963269/271616> and the output from sessionInfo(). It's not clear what the performance object truly is (xts/zoo, data.frame, tibble, etc), Here is my sessionInfo(): R> sessionInfo() R version 3.5.1 (2018-07-02) Platform: x86_64-pc-linux-gnu (64-bit) Running under: Ubuntu 18.04.1 LTS Matrix products: default BLAS: /usr/lib/x86_64-linux-gnu/blas/libblas.so.3.7.1 LAPACK: /usr/lib/x86_64-linux-gnu/lapack/liblapack.so.3.7.1 locale: [1] LC_CTYPE=en_US.UTF-8 LC_NUMERIC=C [3] LC_TIME=en_US.UTF-8 LC_COLLATE=en_US.UTF-8 [5] LC_MONETARY=en_US.UTF-8 LC_MESSAGES=en_US.UTF-8 [7] LC_PAPER=en_US.UTF-8 LC_NAME=C [9] LC_ADDRESS=C LC_TELEPHONE=C [11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=C attached base packages: [1] stats graphics grDevices utils datasets methods base other attached packages: [1] PerformanceAnalytics_1.5.2.2 xts_0.11-2.1 [3] zoo_1.8-4 loaded via a namespace (and not attached): [1] compiler_3.5.1 tools_3.5.1 grid_3.5.1 lattice_0.20-38 [5] quadprog_1.5-5 ------------------------------ I just noticed that you show data with only 4 rows. I'm not sure if that's for illustrative purposes, or if you are only passing 4 rows to chart.RiskReturnScatter(). y <- x[seq(0, nrow(x), 3),]y <- y[1:4,]y[, 1] <- NA chart.RiskReturnScatter(y, Rf = rf, main = "", cex.axis = 1.5, cex.lab = 1.5) # Error in plot.window(...) : need finite 'xlim' values The error is xlim instead of ylim, but that's an actual error close to your issue. Now to replace the NA with zero. z <- yz[,1] <- 0 chart.RiskReturnScatter(z, Rf = rf, main = "", cex.axis = 1.5, cex.lab = 1.5) And the above code works. I have no idea what tk_xts() is, so I can't help with that. I would be happy to continue investigating if you can provide a reproducible example <https://stackoverflow.com/q/5963269/271616>. — You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub <#107 (comment)>, or mute the thread <https://github.com/notifications/unsubscribe-auth/APWzEQnKm1u3nVFuuqNOvyJ_WZCjFcL9ks5uwVkDgaJpZM4YasgB> .