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

In tsungwu/JFE: Tools and GUI for Analyzing Time Series Data of Just Finance and Econometrics

Annualized Returns Summary: Statistics and Stylized Facts

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
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
geometric	utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE
digits	number of digits to round results to

Author(s)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

See Also

Return.annualized
SharpeRatio.annualized

Examples

  data(assetReturns)
	Ra=assetReturns[, -29]
  table.AnnualizedReturns(R=Ra)

tsungwu/JFE documentation built on May 10, 2022, 1:22 p.m.