[R-SIG-Finance] PerformanceAnalytics::table.CalendarReturns

[Enrico Schumann]

On Wed, 04 Sep 2024, Amarjit Chandhial via R-SIG-Finance writes:

> Hi,
>  
> Are there any plans for 
> https://timelyportfolio.github.io/PerformanceAnalytics/reference/table.CalendarReturns.html 
> function to handle daily returns aggregated to monthly and year?
>  
> It would be useful to have a table displaying Monthly Returns and Total 
> Return (rows), by year's (columns), for daily returns.
>  
> Amarjit
>

If an alternative package be acceptable as well, then
function 'returns' in PMwR (which I maintain) might do
what you want:

    returns(<series>, period = "month")

in which series is a zoo (or xts) series.  It is
described in the manual:
https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#holding-period-returns


-- 
Enrico Schumann
Lucerne, Switzerland
https://enricoschumann.net