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.
apply.fromstart(R, FUN = "mean", gap = 1, ...)
| 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 |
| gap | the number of data points from the beginning of the series required to “train” the calculation |
| … | any other passthru parameters |
data(managers) apply.fromstart(managers[,1,drop=FALSE], FUN="mean", width=36)#> 1996-01-31 1996-02-29 1996-03-31 1996-04-30 1996-05-31 1996-06-30 #> 0.007400000 0.013350000 0.014066667 0.008275000 0.008140000 0.006133333 #> 1996-07-31 1996-08-31 1996-09-30 1996-10-31 1996-11-30 1996-12-31 #> 0.001957143 0.006650000 0.007544444 0.009670000 0.010209091 0.010825000 #> 1997-01-31 1997-02-28 1997-03-31 1997-04-30 1997-05-31 1997-06-30 #> 0.011623077 0.010950000 0.010846667 0.010956250 0.012888235 0.013455556 #> 1997-07-31 1997-08-31 1997-09-30 1997-10-31 1997-11-30 1997-12-31 #> 0.013557895 0.014065000 0.014438095 0.012840909 0.013369565 0.013270833 #> 1998-01-31 1998-02-28 1998-03-31 1998-04-30 1998-05-31 1998-06-30 #> 0.012964000 0.014115385 0.014933333 0.014678571 0.013375862 0.013333333 #> 1998-07-31 1998-08-31 1998-09-30 1998-10-31 1998-11-30 1998-12-31 #> 0.012209677 0.008878125 0.009360606 0.010726471 0.010780000 0.010750000 #> 1999-01-31 1999-02-28 1999-03-31 1999-04-30 1999-05-31 1999-06-30 #> 0.010208108 0.010186842 0.011110256 0.012107500 0.012207317 0.012692857 #> 1999-07-31 1999-08-31 1999-09-30 1999-10-31 1999-11-30 1999-12-31 #> 0.012625581 0.011963636 0.011597778 0.011332609 0.011165957 0.011239583 #> 2000-01-31 2000-02-29 2000-03-31 2000-04-30 2000-05-31 2000-06-30 #> 0.010802041 0.010832000 0.011747059 0.011909615 0.012324528 0.012324074 #> 2000-07-31 2000-08-31 2000-09-30 2000-10-31 2000-11-30 2000-12-31 #> 0.012189091 0.012662500 0.012463158 0.012115517 0.012086441 0.011771667 #> 2001-01-31 2001-02-28 2001-03-31 2001-04-30 2001-05-31 2001-06-30 #> 0.011708197 0.011651613 0.011300000 0.011662500 0.012373846 0.012218182 #> 2001-07-31 2001-08-31 2001-09-30 2001-10-31 2001-11-30 2001-12-31 #> 0.012344776 0.012400000 0.011768116 0.011615714 0.011930986 0.012704167 #> 2002-01-31 2002-02-28 2002-03-31 2002-04-30 2002-05-31 2002-06-30 #> 0.012715068 0.012375676 0.012294667 0.012193421 0.012015584 0.011552564 #> 2002-07-31 2002-08-31 2002-09-30 2002-10-31 2002-11-30 2002-12-31 #> 0.010450633 0.010416250 0.009577778 0.009823171 0.010501205 0.009991667 #> 2003-01-31 2003-02-28 2003-03-31 2003-04-30 2003-05-31 2003-06-30 #> 0.009389412 0.008988372 0.009303448 0.009937500 0.010204494 0.010433333 #> 2003-07-31 2003-08-31 2003-09-30 2003-10-31 2003-11-30 2003-12-31 #> 0.010512088 0.010401087 0.010386022 0.010787234 0.010851579 0.011025000 #> 2004-01-31 2004-02-29 2004-03-31 2004-04-30 2004-05-31 2004-06-30 #> 0.010965979 0.010853061 0.010831313 0.010680000 0.010655446 0.010804902 #> 2004-07-31 2004-08-31 2004-09-30 2004-10-31 2004-11-30 2004-12-31 #> 0.010700000 0.010650000 0.010632381 0.010526415 0.010796262 0.011103704 #> 2005-01-31 2005-02-28 2005-03-31 2005-04-30 2005-05-31 2005-06-30 #> 0.011002752 0.011098182 0.010811712 0.010528571 0.010473451 0.010522807 #> 2005-07-31 2005-08-31 2005-09-30 2005-10-31 2005-11-30 2005-12-31 #> 0.010510435 0.010517241 0.010650427 0.010401695 0.010508403 0.010638333 #> 2006-01-31 2006-02-28 2006-03-31 2006-04-30 2006-05-31 2006-06-30 #> 0.011122314 0.011150000 0.011382114 0.011281452 0.010977600 0.011061905 #> 2006-07-31 2006-08-31 2006-09-30 2006-10-31 2006-11-30 2006-12-31 #> 0.010861417 0.010902344 0.010870543 0.011115385 0.011119847 0.011122727