hi Krishna,

thank you for the reply. i believe the solution you suggested would work
well for a price based timeseries.

However, I am trying to transform the daily returns of my P&L (which also
include gaps) to monthly and unfortunately the to.monthly does not work
very well.

i am currently trying table.TrailingPeriods and rollapply.

Any other ideas or functions?

Thank

On Tue, Sep 4, 2012 at 7:39 AM, Kris <kk2250@optonline.net> wrote:

>
> >
> > I am trying to use the table.CalendarReturns from the Performance
> Analytics
> > package with daily returns.
> >
>
> Last I checked the help/usage file states that it expects monthly return
> data. There are some zOo and xts functions that do this..
>
> ?to.monthly
>
> ?table.Annualizedreturns
>
> Cheers
> Krishna
>
>
> >
> t(table.CalendarReturns(tradedata$daily.pnl.norm["1998/2012"],as.perc=TRUE,digits=4,geometric=TRUE))
> >
> > 1) is there anything wrong with my command? if not, is there any way to
> > transform the daily results to monthly?
> >
> > 2) is there a function that would give me the same table for volatility
> and
> > sharpe?
> >
> > Thank you all in advance,
> >
> > Nikos
> >
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> >
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