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

[Amarjit Chandhial]

Thanks Enrico!
 
If try on SPY for the year 2023 
 
 > calendarReturnTable(spyRets, digits = 4, percent = FALSE)
Using 'Value' as value column. Use 'value.var' to override
     Jan     Feb     Mar     Apr     May     Jun     Jul     Aug     Sep 
Oct     Nov     Dec  Annual
  0.0674 -0.0251  0.0371  0.0160  0.0046  0.0648  0.0327 -0.0163 -0.0474 
-0.0217  0.0913  0.0457  0.2671
      DD
  0.0997  
 > PMwR::returns(SPY, period = "month")
      Jan  Feb Mar Apr May Jun Jul  Aug  Sep  Oct Nov Dec  YTD
2023 6.7 -2.5 3.7 1.6 0.5 6.5 3.3 -1.6 -4.7 -2.2 9.1 4.6 26.7  > 
PerformanceAnalytics::table.AnnualizedReturns(spyRets, scale = 249, 
geometric = TRUE)
                           Adjusted
Annualized Return           0.2671
Annualized Std Dev          0.1301
Annualized Sharpe (Rf=0%)   2.0525
 > PerformanceAnalytics::maxDrawdown(spyRets)
[1] 0.09974311 
 
 
Amarjit
 
 
 
------ Original Message ------
From: es using enricoschumann.net
To: a.chandhial using btinternet.com Cc: r-sig-finance using r-project.org
Sent: Thursday, September 5th 2024, 10:10
Subject: Re: [R-SIG-Finance] PerformanceAnalytics::table.CalendarReturns
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(, 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

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