Performance Analytics Calendar Returns
I am trying to use the table.CalendarReturns from the Performance Analytics package with daily returns.
Last I checked the help/usage file states that it expects monthly return data. There are some zOo and xts functions that do this.. ?to.monthly ?table.Annualizedreturns Cheers Krishna
t(table.CalendarReturns(tradedata$daily.pnl.norm["1998/2012"],as.perc=TRUE,digits=4,geometric=TRUE)) 1) is there anything wrong with my command? if not, is there any way to transform the daily results to monthly? 2) is there a function that would give me the same table for volatility and sharpe? Thank you all in advance, Nikos [[alternative HTML version deleted]]
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