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

[Joshua Ulrich]

A much simpler solution is to use period.apply.  Note that
table.AnnualizedReturns returns a multi-row data.frame.  period.apply
works best if the function returns a vector, so make a helper function
to do that and everything works.

# A function that wraps table.AnnualizedReturns
# and returns a vector. You might want something
# more elaborate if 'x' has multiple columns and/or
# if you want better column names.
t.table.AnnRet <- function(x)  # one 'x' column
  drop(t(table.AnnualizedReturns(x)))
#t.table.AnnRet <- function(x)  # multiple 'x' columns
#  unlist(table.AnnualizedReturns(x))

# call period.apply via apply.monthly
apply.yearly(managers[,2], t.table.AnnRet)

Best,
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com


On Fri, Sep 7, 2012 at 3:35 AM, varcovar <varcovar at live.com> wrote:
> 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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