Annualized Returns Summary: Statistics and Stylized Facts
Table of Annualized Return, Annualized Std Dev, and Annualized Sharpe
table.AnnualizedReturns(R, scale = NA, Rf = 0, geometric = TRUE, digits = 4)
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 |
Peter Carl
data(managers)
table.AnnualizedReturns(managers[,1:8])
require("Hmisc")
result = t(table.AnnualizedReturns(managers[,1:8], Rf=.04/12))
textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE,
cdec=c(3,3,1)), rmar = 0.8, cmar = 2, max.cex=.9,
halign = "center", valign = "top", row.valign="center",
wrap.rownames=20, wrap.colnames=10, col.rownames=c("red",
rep("darkgray",5), rep("orange",2)), mar = c(0,0,3,0)+0.1)
title(main="Annualized Performance")Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.