PerformanceAnalytics (version 0.9.7.1)

table.CalendarReturns: Monthly and Calendar year Return table

Description

Returns a table of returns formatted with years in rows, months in columns, and a total column in the last column. For additional columns in R, annual returns will be appended as columns.

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year 2003 -1.05 -3.16 -1.07 7.99 8.97 1.49 -2.03 -0.79 4.32 -0.89 -1.21 3.05 15.83 2004 1.83 -0.70 2.45 0.36 0.13 -1.92 0.66 -1.74 -1.37 -0.08 3.90 -0.52 2.87 2005 2.00 1.28 -1.04 -0.18 1.64 1.91 4.24 1.92 -1.63 1.45 -0.35 0.00 11.68 2006 2.10 NA NA NA NA NA NA NA NA NA NA NA 2.10

NOTE: the older table.Returns function alias is deprecated, and may be removed in the future

Usage

table.CalendarReturns(R, digits = 1, as.perc = TRUE)
table.Returns(R, digits = 1, as.perc = TRUE)

Arguments

R

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

digits

number of digits to round results to for presentation

as.perc

TRUE/FALSE if TRUE, multiply simple returns by 100 to get %

Value

• table of returns

Examples

data(managers)
t(table.CalendarReturns(managers[,c(1,7,8)]))