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

G See gsee000 at gmail.com
Wed Aug 22 23:16:29 CEST 2012


I agree that this is confusing.

>From ?Return.cumulative:
generate geometric (TRUE) or simple (FALSE) returns, default TRUE"

So, you use geometric=FALSE to create simple returns.  Then you use
geometric=TRUE if you want to chart them?


On Wed, Aug 22, 2012 at 4:08 PM, Peter Carl <peter at braverock.com> wrote:
> Correct, if you have simple returns, set geometric=TRUE.
> pcc
> --
> Peter Carl
> http://www.braverock.com/peter
>> 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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