PerformanceAnalytics (version 2.0.8)

Return.cumulative: calculate a compounded (geometric) cumulative return

Description

This is a useful function for calculating cumulative return over a period of time, say a calendar year. Can produce simple or geometric return.

Usage

Return.cumulative(R, geometric = TRUE)

Arguments

R

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

geometric

utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE

Author

Peter Carl

Details

product of all the individual period returns

$$(1+r_{1})(1+r_{2})(1+r_{3})\ldots(1+r_{n})-1=prod(1+R)-1$$

References

Bacon, Carl. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. p. 6

See Also

Return.annualized

Examples

data(managers)
Return.cumulative(managers[,1,drop=FALSE])
Return.cumulative(managers[,1:8])
Return.cumulative(managers[,1:8],geometric=FALSE)