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

[Brian G. Peterson]

the 'returns' package has just turned them into whole numbers rather
than decimals.  The numbers all agree.
-- 
Brian
On Thu, 2024-09-05 at 12:35 +0100, Amarjit Chandhial via R-SIG-Finance
wrote:
> 
>  
> 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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