R: calculate a function over an expanding window always starting from the beginning of the series

apply.fromstart {PerformanceAnalytics}

R Documentation

calculate a function over an expanding window always starting from the beginning of the series

Description

A function to calculate a function over an expanding window from the start of the timeseries. This wrapper allows easy calculation of “from inception” statistics.

Usage

apply.fromstart(R, FUN = "mean" , gap = 1, ...)

Arguments

`R`	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
`FUN`	any function that can be evaluated using a single set of returns (e.g., rolling beta won't work, but `Return.annualized` will)
`gap`	the number of data points from the beginning of the series required to “train” the calculation
`...`	any other passthru parameters

Value

A timeseries in a zoo object of the calculation results

Author(s)

Peter Carl

Examples

data(managers)
apply.fromstart(managers[,1,drop=FALSE], FUN="mean", width=36)

[Package PerformanceAnalytics version 0.9.9-5 Index]