PerformanceAnalytics (version 0.9.5)

table.RollingPeriods: Rolling Periods Summary: Statistics and Stylized Facts

Description

A table of estimates of rolling period return measures

Usage

table.RollingPeriods(R,
                     periods = subset(c(3, 6, 9, 12, 18, 24, 36, 48),c(3, 6, 9, 12, 18, 24, 36, 48) < length(as.matrix(R[,1]))),
                     scale = 12, rf = 0,
                     FUNCS = c("mean", "sd"),
                     digits = 4,
                     ...)

Arguments

R

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

periods

number of periods to use as rolling window(s), subset of c(3, 6, 9, 12, 18, 24, 36, 48)

rf

risk free rate, in same period as your returns

scale

number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)

FUNCS

list of functions to apply the rolling period to

digits

number of digits to round results to

...

any other passthru parameters

Value

• A table of estimates of rolling period return measures

Examples

data(edhec)
table.RollingPeriods(edhec[,10:13], FUNCS=c("SharpeRatio","VaR.CornishFisher"),periods=c(12,24,36))