| Return.cumulative {PerformanceAnalytics} | R Documentation |
This is a useful function for calculating cumulative return over a period of time, say a calendar year. Can produce simple or geometric return.
Return.cumulative(R, geometric = TRUE)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
geometric |
generate geometric (TRUE) or simple (FALSE) returns, default TRUE |
product of all the individual period returns
prod(1+R)-1
cumulative simple or geometric return
Peter Carl
Bacon, Carl. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. p. 6
data(managers) Return.cumulative(managers[,1,drop=FALSE]) Return.cumulative(managers[,1:8]) Return.cumulative(managers[,1:8],geometric=FALSE)