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

[s]

Thanks you. I will give that a try. Another gentleman also informed me
that I could use cumsum() of returns.

Thank you all.

On 5/13/11 12:18 PM, G See wrote:
> Maybe you want to see the PerfomanceAnalytics package?
>
> Or, maybe you're just looking for cumprod?
>
> library(quantmod)
> getSymbols('SPY')
> ret <- dailyReturn(SPY)
> cumret <- cumprod(1+ret)
> str(cumret)
>
>
> On Fri, May 13, 2011 at 10:54 AM, algotr8der <algotr8der at gmail.com> 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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