table.AnnualizedReturns {JFE} | R Documentation |
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 <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
See Also
Return.annualized
SharpeRatio.annualized
Examples
data(assetReturns)
Ra=assetReturns[, -29]
table.AnnualizedReturns(R=Ra)
[Package JFE version 2.5.7 Index]