PerformanceAnalytics: Return.cumulative – R documentation

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Return.cumulative

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

prod(1+R)-1

Author(s)

Peter Carl

References

Bacon, Carl. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. p. 6

Examples

data(managers)
Return.cumulative(managers[,1,drop=FALSE])
Return.cumulative(managers[,1:8])
Return.cumulative(managers[,1:8],geometric=FALSE)

PerformanceAnalytics

Econometric Tools for Performance and Risk Analysis

v2.0.4

GPL-2 | GPL-3

Authors

Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb], Joshua Ulrich [ctb], Eric Zivot [ctb], Dries Cornilly [ctb], Eric Hung [ctb], Matthieu Lestel [ctb], Kyle Balkissoon [ctb], Diethelm Wuertz [ctb], Anthony Alexander Christidis [ctb], R. Douglas Martin [ctb], Zeheng 'Zenith' Zhou [ctb], Justin M. Shea [ctb]

Initial release

2020-02-05