[R-SIG-Finance] Bug in chart.CumReturns (PerformanceAnalytics)

Peter Carl peter at braverock.com
Wed Aug 22 23:08:33 CEST 2012

Correct, if you have simple returns, set geometric=TRUE.

Peter Carl

> Call it what you want but for a simple (arithematic or geometric = FALSE)
> return, the equity curve should be cumprod(1+R) not cumsum(R).
> C.
> ________________________________
>  De : Peter Carl <peter at braverock.com>
> À : Chris de Bleu <blue2bleu at yahoo.fr>
> Cc : "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
> Envoyé le : Mercredi 22 août 2012 22h55
> Objet : Re: [R-SIG-Finance] Bug in chart.CumReturns (PerformanceAnalytics)
> The "arithmetic" and "geometric" tags (indicated as geometric=TRUE or
> FALSE) are used not for the returns themselves, but the *chaining method*
> used in the calculation.  (I think the documentation says "simple" instead
> of "arithmetic").  Part of the confusion is that the language people are
> using in the literature is slightly different than what I adopted at the
> beginning, and it could be changed to be more clear.  Also, geometric ==
> compound.
> Perhaps we should use chaining.method=c("geometric", "simple") for all of
> these functions in a future version.  Alternatively, we could use
> returns.type=c("simple", "log") and provide the transformed returns from
> the "log" case, although somewhat I'm reluctant to do that across the
> whole package.
> pcc
> --
> Peter Carl
> http://www.braverock.com/peter

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