Returns a table of returns formatted with years in rows, months in columns,
and a total column in the last column. For additional columns in R,
annual returns will be appended as columns.
table.CalendarReturns(R, digits = 1, as.perc = TRUE, geometric = TRUE)
| R | an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
|---|---|
| digits | number of digits to round results to for presentation |
| as.perc | TRUE/FALSE if TRUE, multiply simple returns by 100 to get % |
| geometric | utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE |
This function assumes monthly returns and does not currently have handling for other scales.
This function defaults to the first column as the monthly returns to be formatted.
data(managers) t(table.CalendarReturns(managers[,c(1,7,8)]))#> 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 #> Jan 0.7 2.1 0.6 -0.9 -1.0 0.8 1.4 -4.1 0.5 0.0 6.9 #> Feb 1.9 0.2 4.3 0.9 1.2 0.8 -1.2 -2.5 0.0 2.1 1.5 #> Mar 1.6 0.9 3.6 4.6 5.8 -1.1 0.6 3.6 0.9 -2.1 4.0 #> Apr -0.9 1.3 0.8 5.1 2.0 3.5 0.5 6.5 -0.4 -2.1 -0.1 #> May 0.8 4.4 -2.3 1.6 3.4 5.8 -0.2 3.4 0.8 0.4 -2.7 #> Jun -0.4 2.3 1.2 3.3 1.2 0.2 -2.4 3.1 2.6 1.6 2.2 #> Jul -2.3 1.5 -2.1 1.0 0.5 2.1 -7.5 1.8 0.0 0.9 -1.4 #> Aug 4.0 2.4 -9.4 -1.7 3.9 1.6 0.8 0.0 0.5 1.1 1.6 #> Sep 1.5 2.2 2.5 -0.4 0.1 -3.1 -5.8 0.9 0.9 2.6 0.7 #> Oct 2.9 -2.1 5.6 -0.1 -0.8 0.1 3.0 4.8 -0.1 -1.9 4.3 #> Nov 1.6 2.5 1.3 0.4 1.0 3.4 6.6 1.7 3.9 2.3 1.2 #> Dec 1.8 1.1 1.0 1.5 -0.7 6.8 -3.2 2.8 4.4 2.6 1.1 #> HAM1 13.6 20.4 6.1 16.1 17.7 22.4 -8.0 23.7 14.9 7.8 20.5 #> EDHEC LS EQ NA 21.4 14.6 31.4 12.0 -1.2 -6.4 19.3 8.6 11.3 11.7 #> SP500 TR 23.0 33.4 28.6 21.0 -9.1 -11.9 -22.1 28.7 10.9 4.9 15.8# prettify with format.df in hmisc package require("Hmisc")#>#> Warning: there is no package called ‘Hmisc’result = t(table.CalendarReturns(managers[,c(1,8)])) textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=rep(1,dim(result)[2])), rmar = 0.8, cmar = 1, max.cex=.9, halign = "center", valign = "top", row.valign="center", wrap.rownames=20, wrap.colnames=10, col.rownames=c( rep("darkgray",12), "black", "blue"), mar = c(0,0,3,0)+0.1)#> Error in format.df(result, na.blank = TRUE, numeric.dollar = FALSE, cdec = rep(1, dim(result)[2])): could not find function "format.df"title(main="Calendar Returns")#> Error in title(main = "Calendar Returns"): plot.new has not been called yet