[R-SIG-Finance] Generating Monthly Return Info

[Jeff Ryan]

See also ?periodReturn and monthlyReturn in the quantmod package.

Best,
Jeff



On Mar 10, 2011, at 10:43 PM, "Peter Carl" <peter at braverock.com> wrote:

> ?to.monthly
> -- 
> Peter Carl
> http://www.braverock.com/~peter
> 
>> 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]]
>> 
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