Message-ID: <16E755C4-F88D-487E-892D-B4E8231A3EE2@optonline.net>
Date: 2012-09-04T11:39:52Z
From: Krishna Kumar
Subject: Performance Analytics Calendar Returns
In-Reply-To: <CAC=5KeJWMYfhePhj7nBXARpUYv4Ej-BAHONfO61Y60BU3Fs4ag@mail.gmail.com>
>
> 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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