Return.cumulative {PerformanceAnalytics} | R Documentation |
calculate a compounded (geometric) cumulative return
Description
This is a useful function for calculating cumulative return over a period of time, say a calendar year. Can produce simple or geometric return.
Usage
Return.cumulative(R, geometric = TRUE)
Arguments
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
geometric |
utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE |
Details
product of all the individual period returns
(1+r_{1})(1+r_{2})(1+r_{3})\ldots(1+r_{n})-1=prod(1+R)-1
Author(s)
Peter Carl
References
Bacon, Carl. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. p. 6
See Also
Examples
data(managers)
Return.cumulative(managers[,1,drop=FALSE])
Return.cumulative(managers[,1:8])
Return.cumulative(managers[,1:8],geometric=FALSE)
[Package PerformanceAnalytics version 2.0.4 Index]