[R-SIG-Finance] Performance Analytics table.AnnualizedReturns

[varcovar]

Hi Nick, 

I don't think there's any table for that specific need. However, here's how
I would do it: 

library(PerformanceAnalytics)
data(managers)
R <- managers[, 2]
years <- as.character(unique(lubridate:::year(index(R))))
# Return a list whose elements are years and contain table
ll <- plyr:::llply(years, function(x) {
    ret <- table.AnnualizedReturns(R[x])
    colnames(ret) <- x
    ret
})
# Return a table
df <- unlist(ll)
dim(df) <- c(3, length(years))
colnames(df) <- years
rownames(df) <- c("Annualized Return", "Annualized Volatility", "Sharpe
Ratio")

Cheers! 

Markus D.



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