An embedded and charset-unspecified text was scrubbed... Name: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20100121/beab67f5/attachment.pl>
Return.annualized(PerformanceAnalytics)
2 messages · Jorge Nieves, Brian G. Peterson
Jorge Nieves wrote:
Hi, I have a dataSet of returns with 15 columns. I would like to compute the geometric annualized returns. I can do that easily with a loop, but I was wondering it can be done with the apply function. If so, does anyone knows the syntax? This is the specification I would like to use. Return.annualized(x, scale = 252, geometric = TRUE)
Return.annualized has had multi-column support since September of last year. It will apply over your columns for you. Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock