portfolio_bacon: Bacon(2008) Data

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

A xts object that contains columns of monthly returns for an example of portfolio and its benchmark

Usage

portfolio_bacon

Format

CSV conformed into an xts object with monthly observations

Examples

data(portfolio_bacon)

#preview the data
head(portfolio_bacon)

#summary period statistics
summary(portfolio_bacon)

#cumulative returns
tail(cumprod(1+portfolio_bacon),1)

Example output

Loading required package: xts
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric


Attaching package: 'PerformanceAnalytics'

The following object is masked from 'package:graphics':

    legend

           portfolio.monthly.return.... benchmark.return....
2000-01-30                        0.003                0.002
2000-02-27                        0.026                0.025
2000-03-30                        0.011                0.018
2000-04-29                       -0.010               -0.011
2000-05-30                        0.015                0.014
2000-06-29                        0.025                0.018
     Index            portfolio.monthly.return.... benchmark.return....
 Min.   :2000-01-30   Min.   :-0.0650              Min.   :-0.06700    
 1st Qu.:2000-07-22   1st Qu.:-0.0110              1st Qu.:-0.00725    
 Median :2001-01-14   Median : 0.0130              Median : 0.01450    
 Mean   :2001-01-13   Mean   : 0.0090              Mean   : 0.01004    
 3rd Qu.:2001-07-06   3rd Qu.: 0.0295              3rd Qu.: 0.02850    
 Max.   :2001-12-30   Max.   : 0.0810              Max.   : 0.08300    
           portfolio.monthly.return.... benchmark.return....
2001-12-30                     1.218106             1.249887

PerformanceAnalytics documentation built on May 2, 2019, 5:21 p.m.