[R-SIG-Finance] tradeStats vs table.AnnualizedReturns discrepancy

[SW]

Thanks, Brian;
Makes perfect sense.

Best Regards,
Sergey 

> 
> You've run into the difference between geometric and simple
> returns.
> 
> > table.AnnualizedReturns(rets,geometric=FALSE)
>                
>             GSPC
> Annualized Return     
>    0.0005
> Annualized Std Dev        0.1076
> Annualized Sharpe (Rf=0%) 0.0042
> > 680/initEq
> [1] 0.0004791972
> 
> 
> So, this looks correct...
> 
> Regards,
> 
>    - Brian
> 
> -- 
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
> 
>