annulized: annualized functions

In raphael210/QUtility:

Description

calculate an annualized return, stddev, turnover.

Usage

Turnover.annualized(R, scale = scale_esti(R))

Return.annualized(R, scale = scale_esti(R), geometric = TRUE)

StdDev.annualized(R, scale = scale_esti(R))

IC.annualized(R, scale = scale_esti(R))

SharpeRatio.annualized(R, Rf = 0, scale = scale_esti(R), geometric = TRUE)

Table.Annualized(R, scale = scale_esti(R), Rf = 0, geometric = TRUE,
  digits = 4)

Arguments

R	a return, stddev, turnover series, an object of class timeSeries,zoo or xts
scale	number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)
geometric	a logical. generate geometric (TRUE) or simple (FALSE) returns, default TRUE

Value

a vector or scalar depending on the dim of seri

Author(s)

Ruifei.Yin

Examples

#-- turnover.annulized
seri <- zoo(runif(30,0,1),seq(Sys.Date(),by="month",length.out=30))
re <- Turnover.annualized(seri)
seri <- zoo(matrix(runif(60,0,1),30,2),seq(Sys.Date(),by="month",length.out=30))
re <- Turnover.annualized(seri)
#-- return.annulized
#- monthly
rtn.long <- zoo(rnorm(100,0.001,0.02),as.Date("2010-01-01")+(1:100)*30)
rtn.short <- rtn.long + rnorm(100,-0.001,0.003)
rtn <- merge(rtn.long,rtn.short)
Return.annualized(rtn) 
PerformanceAnalytics::Return.annualized(rtn) 
#- 10day
rtn.long <- zoo(rnorm(100,0.001,0.02),as.Date("2010-01-01")+(1:100)*10)
rtn.short <- rtn.long + rnorm(100,-0.001,0.003)
rtn <- merge(rtn.long,rtn.short)
Return.annualized(rtn) # right
PerformanceAnalytics::Return.annualized(rtn) # wrong!
scale_esti <- 365/periodicity_Ndays(rtn)
PerformanceAnalytics::Return.annualized(rtn,scale = scale_esti) # right

raphael210/QUtility documentation built on May 26, 2019, 11:05 p.m.