I tried to.monthly but it simply outputs the OHLC of the daily returns for
the month. I'm looking for the consolidated monthly return. For example, f1
is the xls object. f1$Rtrns is the daily returns. Here are the daily returns
for March:

2011-03-01 -0.01573
2011-03-02  0.00159
2011-03-03  0.01722
2011-03-04 -0.00737
2011-03-07 -0.00832
2011-03-08  0.00892
2011-03-09 -0.00136
2011-03-10 -0.01885

So, if I try to.monthly(f1$Rtrns), the march values I get back are:

Mar 2011        -0.01573         0.01722       -0.01885         -0.01885

Those numbers are simply the OHLC of the daily returns. I'm looking for the
total return for March. Actually, I'm looking for a consolidated table of
total returns by month. I'm just using march as an example.



On Thu, Mar 10, 2011 at 11:43 PM, Peter Carl <peter@braverock.com> wrote:

> ?to.monthly
> --
> Peter Carl
> http://www.braverock.com/~peter
>
> > Newbie just learning.
> >
> > Trying to figure out how I generate monthly returns information. I have
> > daily returns and daily equity for a trading system over a 10 year period
> > in
> > an xts format. I'd like to collapse the daily data into monthly data. In
> > addition, I'd like to be able to create a table of monthly returns by
> > year.
> > I tried table.CalendarReturns() in the PerfomanceAnalytics package but it
> > seems like it needs monthly returns as the input.
> >
> > Suggestions ?
> >
> >       [[alternative HTML version deleted]]
> >
> > _______________________________________________
> > R-SIG-Finance@r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R questions
> > should go.
> >
>
>
>

	[[alternative HTML version deleted]]

