Calculates the ratio of the cumulative performance for two assets through time.
Return.relative(Ra, Rb, ...)
| Ra | an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
|---|---|
| Rb | return object for the benchmark asset |
| … | ignored |
xts or other time series of relative return
data(managers) head(Return.relative(managers[,1:3], managers[,8,drop=FALSE]),n=20)#> HAM1/SP500 TR HAM2/SP500 TR HAM3/SP500 TR #> 1996-01-31 0.9742747 NA 1.000870 #> 1996-02-29 0.9839276 NA 1.026455 #> 1996-03-31 0.9896776 NA 1.042925 #> 1996-04-30 0.9664645 NA 1.073965 #> 1996-05-31 0.9493173 NA 1.083912 #> 1996-06-30 0.9420352 NA 1.047090 #> 1996-07-31 0.9628313 NA 1.058593 #> 1996-08-31 0.9801813 0.9792381 1.084511 #> 1996-09-30 0.9415791 1.0199354 1.093751 #> 1996-10-31 0.9426786 1.0260891 1.106417 #> 1996-11-30 0.8900934 1.0242766 1.097159 #> 1996-12-31 0.9240553 1.0761069 1.143275 #> 1997-01-31 0.8881367 1.0932234 1.158985 #> 1997-02-28 0.8832017 1.0758672 1.107005 #> 1997-03-31 0.9297150 1.0917993 1.115663 #> 1997-04-30 0.8883924 1.0240062 1.082921 #> 1997-05-31 0.8740730 1.0172496 1.098232 #> 1997-06-30 0.8559189 1.0273754 1.056817 #> 1997-07-31 0.8050204 1.0610629 1.084716 #> 1997-08-31 0.8729867 1.1018644 1.145846