apply.fromstart: calculate a function over an expanding window always starting...

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

calculate a function over an expanding window always starting from the beginning of the series

Description

A function to calculate a function over an expanding window from the start of the timeseries. This wrapper allows easy calculation of “from inception” statistics.

Usage

apply.fromstart(R, FUN = "mean", gap = 1, ...)

Arguments

R	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 beta won't work, but Return.annualized will)
gap	the number of data points from the beginning of the series required to “train” the calculation
...	any other passthru parameters

Author(s)

Peter Carl

See Also

rollapply

Examples

data(managers)
apply.fromstart(managers[,1,drop=FALSE], FUN="mean", width=36)

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