Thanks Enrico!
If try on SPY for the year 2023
> calendarReturnTable(spyRets, digits = 4, percent = FALSE)
Using 'Value' as value column. Use 'value.var' to override
Jan Feb Mar Apr May Jun Jul Aug Sep
Oct Nov Dec Annual
0.0674 -0.0251 0.0371 0.0160 0.0046 0.0648 0.0327 -0.0163 -0.0474
-0.0217 0.0913 0.0457 0.2671
DD
0.0997
> PMwR::returns(SPY, period = "month")
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2023 6.7 -2.5 3.7 1.6 0.5 6.5 3.3 -1.6 -4.7 -2.2 9.1 4.6 26.7 >
PerformanceAnalytics::table.AnnualizedReturns(spyRets, scale = 249,
geometric = TRUE)
Adjusted
Annualized Return 0.2671
Annualized Std Dev 0.1301
Annualized Sharpe (Rf=0%) 2.0525
> PerformanceAnalytics::maxDrawdown(spyRets)
[1] 0.09974311
Amarjit
------ Original Message ------
From: e...@enricoschumann.net
To: a.chandh...@btinternet.com Cc: r-sig-finance@r-project.org
Sent: Thursday, September 5th 2024, 10:10
Subject: Re: [R-SIG-Finance] PerformanceAnalytics::table.CalendarReturns
On Wed, 04 Sep 2024, Amarjit Chandhial via R-SIG-Finance writes: > Hi, >
> Are there any plans for >
https://timelyportfolio.github.io/PerformanceAnalytics/reference/table.CalendarReturns.html
> function to handle daily returns aggregated to monthly and year? > >
It would be useful to have a table displaying Monthly Returns and Total
> Return (rows), by year's (columns), for daily returns. > > Amarjit >
If an alternative package be acceptable as well, then function 'returns'
in PMwR (which I maintain) might do what you want: returns(, period =
"month") in which series is a zoo (or xts) series. It is
described in the manual:
https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#holding-period-returns
-- Enrico Schumann Lucerne, Switzerland https://enricoschumann.net
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