Return.cumulative: calculate a compounded (geometric) cumulative return

Description Usage Arguments Details Author(s) References See Also Examples

Description

This is a useful function for calculating cumulative return over a period of time, say a calendar year. Can produce simple or geometric return.

Usage

1
Return.cumulative(R, geometric = TRUE)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

geometric

utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE

Details

product of all the individual period returns

prod(1+R)-1

Author(s)

Peter Carl

References

Bacon, Carl. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. p. 6

See Also

Return.annualized

Examples

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R-Finance/PerformanceAnalytics documentation built on May 8, 2019, 3:54 a.m.