PerformanceAnalytics: couple of issues

Murali.Menon at avivainvestors.com · 2010-07-29T06:55:47Z

Hi Brian, Thanks for the prompt response. >> 2. The function table.CalendarReturns computes the geometric return for the annualized value (prod(1 + ...)) - 1). Might be useful to have a geometric argument as in the function above, and call Return.annualized instead. > Can you help me out by indicating a case where geometric would not be true here? That function really only works with monthly returns as inputs. In contrast to > Return.annualized, wouldn't you always want cumulative returns

Murali.Menon at avivainvestors.com

Wed, Jul 28, 2010 11:55 PM

Hi Brian,

Thanks for the prompt response.

I was thinking that if the monthly returns have already been calculated logarithmically (diff(log(assetprice)), then the annual returns would be the arithmetic, and not geometric, return over the period?

Cheers,
Murali