On 09/04/2014 02:38 PM, George Kumar wrote:
Hi all,
I am using PerformanceAnalytics package
and specifically the function
chart.CumReturns. This works fine. But my question
is suppose instead of plotting the data I would like
chart.CumReturns to return me a table/data frame of values.
I realize that I can use cumsum function
df.cumsum = apply(df,2,cumsum)
but this only gives me arithmetic sum, whereas I would prefer geometric
cumulative return and chart.CumReturns seem to do a good job
in returning that information.
use cumprod instead of cumsum.
Since cumprod and cumsum are core R functions, we didn't see a need to
create a function in PerformanceAnalytics for it.
Alternately, Return.portfolio will also do what you want, and return a
time series of cumulative returns if wealth.index=TRUE
Regards,
Brian
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
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