PerformanceAnalytics (version 0.9.5)

table.MonthlyReturns: Monthly Returns Summary: Statistics and Stylized Facts

Description

Returns a basic set of statistics that match the period of the data passed in (e.g., monthly returns will get monthly statistics)

Usage

table.MonthlyReturns(R, ci = 0.95, digits = 4)

Arguments

R

a vector, matrix, data frame, timeSeries or zoo object of asset returns

ci

confidence interval, defaults to 95%

digits

number of digits to round results to

Value

• Data frame of columns named to the columns of the data passed in, and rows names for the calculated statistics calculated.

Details

This was created as a way to display a set of related statistics together for comparison across a set of instruments or funds. Careful consideration to missing data or unequal time series should be given when intepreting the results.

Examples

data(edhec)
table.MonthlyReturns(edhec[,1:3])
t(table.MonthlyReturns(edhec))