[R-SIG-Finance] [PerformanceAnalytics] Adding support for dollar returns?

Ivan Popivanov ivan.popivanov at gmail.com
Sun Nov 30 04:34:36 CET 2014


It seems to me, that statistics (CAGR, drawdowns, etc) expressed in dollars
are quite common in the literature related to future systems. Do you think
that it makes sense to extend the related PerformanceAnalytics functions to
support dollar-returns (it seems to be no more than adding a flag to the
interface)? Or do you think it really belongs elsewhere?

Thanks in advance,
Ivan

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