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

Murali.Menon at avivainvestors.com Murali.Menon at avivainvestors.com
Thu Jul 29 08:55:47 CEST 2010

Hi Brian,

Thanks for the prompt response.

>> 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.

> Can you help me out by indicating a case where geometric would not be true here?  That function really only works with monthly returns as inputs.  In contrast to
> Return.annualized, wouldn't you always want cumulative returns to be geometric for the annual return column in that table?

I was thinking that if the monthly returns have already been calculated logarithmically (diff(log(assetprice)), then the annual returns would be the arithmetic, and not geometric, return over the period?


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