R/gmrr.R

In gothic-hedge-society/FinancieR: Tools for Financial Data Analysis and Manipulation

#' gmmr
#'
#' Calculate geometric means of an xts series of returns.
#' 
#' @param returns_xts An xts object whose values are period-over-period returns
#'   observed for the assets specified by the identifiers in the column names.
#'   Returns are NOT assumed to be in 'percent form': i.e., make sure that in
#'   whatever xts is passed as \code{returns_xts}, a return of \emph{12}% is
#'   represented as \emph{0.12}.
#' 
#' @return A numeric vector whose values are the geometric means of the returns
#'   in \code{returns_xts} and whose names are the identifiers for which each
#'   geometric mean return was calculated.
#' 
#' @export
gmrr <- function(returns_xts){
  apply(
    X      = returns_xts + 1, 
    MARGIN = 2, 
    FUN    = prod,
    na.rm  = TRUE
  )^(1/nrow(returns_xts)) - 1
}