Dear all,



I am encountering the following issues in the Package Performance Analytics
(PA): Firstly, I have difficulties to reconcile annualized return and risk
figures computed in the Package PA with manually recomputed figures. I
assume that commands like SharpeRatio.annualized, table.AnnualizedReturns
etc. use by default the geometric mean (e.g.: geometric mean ./. return on
risk free asset). However, my understanding is that when utilising log
returns, it is more common to use the arithmetic mean. For the
Return.annualized command there exists an option to use the arithmetic mean
(geometric=FALSE) while there appears to be none for the command
SharpeRatio.annualized etc. Can someone please confirm my understanding (and
possibly let me know a workaround that allows me to use the arithmetic
return)?



Secondly, my Treynor Ratio in the table.CAPM output looks somewhat odd and
I’d like to recompute it with TreynorRatio. However, I always get an NA as a
result. Using for instance the EDHEC data I get the following:



> TreynorRatio(managers[,1, drop=FALSE], managers[,8,drop=FALSE], rf =
.04/12)

[1] NA





Many thanks for a quick clarification.



Best Regards,



Philipp

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