rollingPerformance: rollingPerformance

In QuantAndrew/QUtility:

Description

get the rolling performance of the return series

Usage

rollingPerformance(rtn, FUN = "Return.annualized", width = 365, by = 30,
  align = "right", ...)

Arguments

rtn	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
FUN	any function that can be evaluated using a single set of returns (e.g., rolling CAPM.beta won't work, but Return.annualized will)
width	see rollapply for detail
by	see rollapply for detail
align	see rollapply for detail
...	other arguments to function FUN or rollapply

Value

A object of class xts with the results of the rolling function

Author(s)

Ruifei.Yin

Examples

rtn.long <- zoo(rnorm(100,0.001,0.02),as.Date("2010-01-01")+1:100)
rtn.short <- rtn.long + rnorm(100,-0.001,0.003)
rtn <- merge(rtn.long,rtn.short)
re <- rollingPerformance(rtn, width=20, by=5)

QuantAndrew/QUtility documentation built on May 14, 2019, 7:36 a.m.