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

In guillermozbta/portafolio-master: Econometric tools for performance and risk analysis.

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

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)

guillermozbta/portafolio-master documentation built on May 11, 2019, 7:20 p.m.