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

In braverock/PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

calculate a compounded (geometric) cumulative return

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

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

(1+r_{1})(1+r_{2})(1+r_{3})\ldots(1+r_{n})-1=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

data(managers)
Return.cumulative(managers[,1,drop=FALSE])
Return.cumulative(managers[,1:8])
Return.cumulative(managers[,1:8],geometric=FALSE)

braverock/PerformanceAnalytics documentation built on Feb. 16, 2024, 5:37 a.m.