Monthly and Calendar year Return table
Returns a table of returns formatted with years in rows, months in columns,
and a total column in the last column. For additional columns in R,
annual returns will be appended as columns.
table.CalendarReturns(R, digits = 1, as.perc = TRUE, geometric = TRUE)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
digits |
number of digits to round results to for presentation |
as.perc |
TRUE/FALSE if TRUE, multiply simple returns by 100 to get % |
geometric |
utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE |
This function assumes monthly returns and does not currently have handling for other scales.
This function defaults to the first column as the monthly returns to be formatted.
Peter Carl
data(managers)
t(table.CalendarReturns(managers[,c(1,7,8)]))
# prettify with format.df in hmisc package
require("Hmisc")
result = t(table.CalendarReturns(managers[,c(1,8)]))
textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE,
cdec=rep(1,dim(result)[2])), rmar = 0.8, cmar = 1,
max.cex=.9, halign = "center", valign = "top",
row.valign="center", wrap.rownames=20, wrap.colnames=10,
col.rownames=c( rep("darkgray",12), "black", "blue"),
mar = c(0,0,3,0)+0.1)
title(main="Calendar Returns")Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.