[R-SIG-Finance] Calculating trailing returns

Michael Weylandt michael.weylandt at gmail.com
Mon Oct 26 15:34:57 CET 2015

> On Oct 26, 2015, at 9:21, Am Gut <agquantr at gmail.com> wrote:
> Dear R Users,
> I am trying to calculate trailing month and annual returns with daily data.
> The data is already in returns, and not in price. I have been looking for a
> handy function to calculate trailing returns where I can specify the look
> back period (number of lags), but have been completely unsuccessful. Can
> anyone please suggest a way that I can calculate trailing returns from my
> dataset of many different return streams? Any help would be greatly
> appreciated.

Assuming you have geometric/log/continuously-compounded returns, aren't you just looking for a rolling sum? TTR and zoo both provide this. 

> Kind Regards,
> AG
>    [[alternative HTML version deleted]]
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