[R-SIG-Finance] Generating Monthly Return Info

Peter Carl peter at braverock.com
Fri Mar 11 05:43:46 CET 2011

Peter Carl

> Newbie just learning.
> Trying to figure out how I generate monthly returns information. I have
> daily returns and daily equity for a trading system over a 10 year period
> in
> an xts format. I'd like to collapse the daily data into monthly data. In
> addition, I'd like to be able to create a table of monthly returns by
> year.
> I tried table.CalendarReturns() in the PerfomanceAnalytics package but it
> seems like it needs monthly returns as the input.
> Suggestions ?
> 	[[alternative HTML version deleted]]
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.

More information about the R-SIG-Finance mailing list