table.AnnualizedReturns: Annualized Returns Summary: Statistics and Stylized Facts

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

Description

Table of Annualized Return, Annualized Std Dev, and Annualized Sharpe

Usage

table.AnnualizedReturns(R, scale = NA, Rf = 0, geometric = TRUE,
  digits = 4)

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
scale	number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)
Rf	risk free rate, in same period as your returns
digits	number of digits to round results to

Author(s)

Peter Carl

See Also

Return.annualized
StdDev.annualized
SharpeRatio.annualized

Examples

data(managers)
table.AnnualizedReturns(managers[,1:8])

require("Hmisc")
result = t(table.AnnualizedReturns(managers[,1:8], Rf=.04/12))

textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE,
         cdec=c(3,3,1)), rmar = 0.8, cmar = 2,  max.cex=.9,
         halign = "center", valign = "top", row.valign="center",
         wrap.rownames=20, wrap.colnames=10, col.rownames=c("red",
         rep("darkgray",5), rep("orange",2)), mar = c(0,0,3,0)+0.1)

title(main="Annualized Performance")

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