[R-SIG-Finance] PerformanceAnalytics: couple of issues

Murali.Menon at avivainvestors.com Murali.Menon at avivainvestors.com
Wed Jul 28 17:36:21 CEST 2010

Hi Brian,

Hope you are well. 

I'm using PerformanceAnalytics version I don't know if a later version of PerformanceAnalytics on r-forge has sorted out the issues described below. Anyway, thought you might be interested in a couple of things we found:
1. The function table.AnnualizedReturns() has an omission in the calculation of the Sharpe Ratio. The SharpeRatio.annualized() function is being called without the 'geometric' argument being passed through, with the result that it always returns the quantity with geometric returns, irrespective of whether table.AnnualizedReturns was called with geometric = TRUE or FALSE.

2. The function table.CalendarReturns computes the geometric return for the annualized value (prod(1 + ...)) - 1). Might be useful to have a geometric argument as in the function above, and call Return.annualized instead.

Thanks, and best wishes,


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