[R-SIG-Finance] Performance Analytics Calendar Returns

Kris kk2250 at optonline.net
Tue Sep 4 13:39:52 CEST 2012

> I am trying to use the table.CalendarReturns from the Performance Analytics
> package with daily returns.

Last I checked the help/usage file states that it expects monthly return data. There are some zOo and xts functions that do this..




> t(table.CalendarReturns(tradedata$daily.pnl.norm["1998/2012"],as.perc=TRUE,digits=4,geometric=TRUE))
> 1) is there anything wrong with my command? if not, is there any way to
> transform the daily results to monthly?
> 2) is there a function that would give me the same table for volatility and
> sharpe?
> Thank you all in advance,
> Nikos
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