PerformanceAnalytics (version 2.0.4)

apply.fromstart: 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

See Also

rollapply

Examples

# NOT RUN {
data(managers)
apply.fromstart(managers[,1,drop=FALSE], FUN="mean", width=36)

# }