table.CalendarReturns: Monthly and Calendar year Return table

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

Description

Returns a table of returns formatted with years in rows, months in columns, and a total column in the last column. For additional columns in R, annual returns will be appended as columns.

Usage

table.CalendarReturns(R, digits = 1, as.perc = TRUE, geometric = TRUE)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
digits	number of digits to round results to for presentation
as.perc	TRUE/FALSE if TRUE, multiply simple returns by 100 to get %
geometric	utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE

Note

This function assumes monthly returns and does not currently have handling for other scales.

This function defaults to the first column as the monthly returns to be formatted.

Author(s)

Peter Carl

Examples

data(managers)
t(table.CalendarReturns(managers[,c(1,7,8)]))

# prettify with format.df in hmisc package
require("Hmisc")
result = t(table.CalendarReturns(managers[,c(1,8)]))

textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE,
         cdec=rep(1,dim(result)[2])), rmar = 0.8, cmar = 1,
         max.cex=.9, halign = "center", valign = "top",
         row.valign="center", wrap.rownames=20, wrap.colnames=10,
         col.rownames=c( rep("darkgray",12), "black", "blue"),
         mar = c(0,0,3,0)+0.1)

title(main="Calendar Returns")

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