[R-SIG-Finance] PerformanceAnalytics issue

Julien Dargent jdargent at dci.com
Wed Jul 25 05:52:09 CEST 2012

Dear all:

I am facing a disconcerting issue with the functions CalculateReturns() and chart.CumReturns() of the PerformanceAnalytics package.

First, when I try to use CalculateReturns() to back out the returns from the total return indices values, the resulting returns do not add up:

Indices.ts <- as.timeSeries(CalculateReturns(indices, method = "compound"))
#Note that the method = "simple" option only returns zeros for me.

Running the code above on the data in the "indices" CSV file attached, I obtain suspicious returns (for instance the total return for S&P 500 is 17% while it is actually close to 40%).

Second, when I do the reverse and use chart.CumReturns() with the correct returns calculated manually in the "returns" CSV file attached, I also obtain wrong cumulative returns.

Returns.ts <-      chart.CumReturns(returns[,c(1:5), drop = FALSE],
                                                main="Cumulative Returns",
                                                 legend.loc = "topleft",
                                                 geometric = TRUE,
                                                 wealth.index = TRUE,
                                                colorset = rainbow6equal)

Running this code plots for instance the Barclays US Agg Corporate in my sample above the Barclays Global Agg whereas the later outperformed it.

[cid:image001.png at 01CD69DE.3138E1C0]

I spent a fair amount of time trying to resolve this by myself but it appears that something is amiss.

Thanks in advance for your much appreciated help!


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