[R-SIG-Finance] is there a function that will compute a cumulative return times series

Brian G. Peterson brian at braverock.com
Fri May 13 18:23:06 CEST 2011

Package PerformanceAnalytics will do this for you.


for starters.


   - Brian

On Fri, 2011-05-13 at 08:54 -0700, algotr8der wrote:
> Hello,
> Do any of you know whether there exists a function that I can use to produce
> a cumulative return time series of an xts object (stock price). I have
> created my own code to do this but I was wondering if there already exists a
> function that does what I want as I would like the resulting object to
> remain as a XTS object so I can plot various studies on the same chart.
> I have attached an image of a chart that shows the cumulative return time
> series of an ETF and its components.
> http://r.789695.n4.nabble.com/file/n3520559/Screen_shot_2011-05-13_at_11.31.53_AM.png
> Screen_shot_2011-05-13_at_11.31.53_AM.png 
> I looked through the 'TTR' package and found very useful functions that
> compute running/window SDs, Means, Cov etc...    but was wondering if there
> is something similar for cumulative returns.
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Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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