cumulative_return: Cumulative returns

In DavisVaughan/tidyfinance: Tidy Financial Analysis

Description

Various functions for aggregating returns. cumulative_return() calculates a vector of cumulative returns. total_return() returns the total return over the period.

Usage

cumulative_return(.r, type = "arithmetic")

total_return(.r, type = "arithmetic")

Arguments

.r	A vector of returns.
type	Either "arithmetic" or "log" returns.

Implementation

Arithmetic returns are compounded as:

(1 + r_1)(1 + r_2) ... (1 + r_n) - 1

Log returns are compounded as:

r_1 + r_2 + ... + r_n

total_return() is the last value of the cumulative return.

DavisVaughan/tidyfinance documentation built on May 24, 2019, 8:46 p.m.