Description Usage Format Examples
A xts object that contains columns of monthly returns for an example of portfolio and its benchmark
1 |
CSV conformed into an xts object with monthly observations
1 2 3 4 5 6 7 8 9 10 | data(portfolio_bacon)
#preview the data
head(portfolio_bacon)
#summary period statistics
summary(portfolio_bacon)
#cumulative returns
tail(cumprod(1+portfolio_bacon),1)
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Loading required package: xts
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Attaching package: 'PerformanceAnalytics'
The following object is masked from 'package:graphics':
legend
portfolio.monthly.return.... benchmark.return....
2000-01-30 0.003 0.002
2000-02-27 0.026 0.025
2000-03-30 0.011 0.018
2000-04-29 -0.010 -0.011
2000-05-30 0.015 0.014
2000-06-29 0.025 0.018
Index portfolio.monthly.return.... benchmark.return....
Min. :2000-01-30 Min. :-0.0650 Min. :-0.06700
1st Qu.:2000-07-22 1st Qu.:-0.0110 1st Qu.:-0.00725
Median :2001-01-14 Median : 0.0130 Median : 0.01450
Mean :2001-01-13 Mean : 0.0090 Mean : 0.01004
3rd Qu.:2001-07-06 3rd Qu.: 0.0295 3rd Qu.: 0.02850
Max. :2001-12-30 Max. : 0.0810 Max. : 0.08300
portfolio.monthly.return.... benchmark.return....
2001-12-30 1.218106 1.249887
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