calculate simple or compound returns from prices � Return.calculate • PerformanceAnalytics

calculate simple or compound returns from prices

Return.calculate(prices, method = c("discrete", "log"))

CalculateReturns(prices, method = c("discrete", "log"))

Arguments

prices	data object containing ordered price observations
method	calculate "discrete" or "log" returns, default discrete(simple)

Details

Two requirements should be made clear. First, the function Return.calculate assumes regular price data. In this case, we downloaded monthly close prices. Prices can be for any time scale, such as daily, weekly, monthly or annual, as long as the data consists of regular observations. Irregular observations require time period scaling to be comparable. Fortunately, to.period in the xts package, or the aggregate.zoo in the zoo package supports supports management and conversion of irregular time series.

Second, if corporate actions, dividends, or other adjustments such as time- or money-weighting are to be taken into account, those calculations must be made separately. This is a simple function that assumes fully adjusted close prices as input. For the IBM timeseries in the example below, dividends and corporate actions are not contained in the "close" price series, so we end up with "price returns" instead of "total returns". This can lead to significant underestimation of the return series over longer time periods. To use adjusted returns, specify quote="AdjClose" in get.hist.quote, which is found in package tseries.

We have changes the default arguments and settings for method from compound and simple to discrete and log and discrete to avoid confusing between the return type and the chaining method. In most of the rest of PerformanceAnalytics, compound and simple are used to refer to the return chaining method used for the returns. The default for this function is to use discrete returns, because most other package functions use compound chaining by default.

References

Bacon, C. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. Chapter 2

Examples


  
# NOT RUN {
    require(quantmod)
    prices = getSymbols("IBM", from = "1999-01-01", to = "2007-01-01")

# }  
R.IBM = Return.calculate(xts(prices), method="discrete")
colnames(R.IBM)="IBM"
chart.CumReturns(R.IBM,legend.loc="topleft", main="Cumulative Daily Returns for IBM")
round(R.IBM,2)
#>              IBM
#> 1999-01-04    NA
#> 1999-01-05  0.04
#> 1999-01-06  0.00
#> 1999-01-07  0.01
#> 1999-01-08 -0.01
#> 1999-01-11  0.01
#> 1999-01-12 -0.02
#> 1999-01-13  0.00
#> 1999-01-14 -0.03
#> 1999-01-15  0.02
#> 1999-01-19  0.04
#> 1999-01-20  0.01
#> 1999-01-21  0.01
#> 1999-01-22 -0.09
#> 1999-01-25  0.01
#> 1999-01-26  0.02
#> 1999-01-27 -0.04
#> 1999-01-28  0.00
#> 1999-01-29  0.03
#> 1999-02-01 -0.02
#> 1999-02-02 -0.02
#> 1999-02-03 -0.01
#> 1999-02-04 -0.03
#> 1999-02-05 -0.02
#> 1999-02-08  0.01
#> 1999-02-09 -0.03
#> 1999-02-10  0.04
#> 1999-02-11  0.06
#> 1999-02-12 -0.03
#> 1999-02-16  0.00
#> 1999-02-17 -0.01
#> 1999-02-18  0.02
#> 1999-02-19 -0.02
#> 1999-02-22  0.04
#> 1999-02-23 -0.01
#> 1999-02-24 -0.02
#> 1999-02-25  0.00
#> 1999-02-26 -0.02
#> 1999-03-01 -0.01
#> 1999-03-02  0.00
#> 1999-03-03 -0.01
#> 1999-03-04  0.03
#> 1999-03-05  0.04
#> 1999-03-08  0.00
#> 1999-03-09  0.02
#> 1999-03-10  0.00
#> 1999-03-11  0.01
#> 1999-03-12 -0.03
#> 1999-03-15  0.02
#> 1999-03-16 -0.01
#> 1999-03-17 -0.02
#> 1999-03-18  0.00
#> 1999-03-19 -0.05
#> 1999-03-22 -0.01
#> 1999-03-23 -0.01
#> 1999-03-24  0.02
#> 1999-03-25  0.01
#> 1999-03-26  0.01
#> 1999-03-29  0.03
#> 1999-03-30  0.00
#> 1999-03-31 -0.01
#> 1999-04-01  0.00
#> 1999-04-05  0.04
#> 1999-04-06 -0.01
#> 1999-04-07  0.02
#> 1999-04-08  0.00
#> 1999-04-09  0.00
#> 1999-04-12 -0.02
#> 1999-04-13 -0.02
#> 1999-04-14  0.00
#> 1999-04-15 -0.01
#> 1999-04-16 -0.04
#> 1999-04-19 -0.02
#> 1999-04-20  0.02
#> 1999-04-21  0.01
#> 1999-04-22  0.13
#> 1999-04-23  0.03
#> 1999-04-26  0.05
#> 1999-04-27  0.01
#> 1999-04-28 -0.03
#> 1999-04-29  0.00
#> 1999-04-30  0.02
#> 1999-05-03  0.01
#> 1999-05-04  0.00
#> 1999-05-05  0.00
#> 1999-05-06 -0.01
#> 1999-05-07  0.04
#> 1999-05-10  0.01
#> 1999-05-11  0.01
#> 1999-05-12  0.02
#> 1999-05-13  0.09
#> 1999-05-14 -0.03
#> 1999-05-17 -0.01
#> 1999-05-18  0.00
#> 1999-05-19 -0.01
#> 1999-05-20 -0.01
#> 1999-05-21 -0.01
#> 1999-05-24 -0.03
#> 1999-05-25 -0.01
#> 1999-05-26  0.07
#> 1999-05-27 -0.02
#> 1999-05-28  0.00
#> 1999-06-01 -0.03
#> 1999-06-02  0.02
#> 1999-06-03 -0.01
#> 1999-06-04  0.03
#> 1999-06-07  0.04
#> 1999-06-08 -0.03
#> 1999-06-09  0.00
#> 1999-06-10 -0.01
#> 1999-06-11 -0.01
#> 1999-06-14  0.01
#> 1999-06-15  0.00
#> 1999-06-16  0.04
#> 1999-06-17  0.00
#> 1999-06-18  0.00
#> 1999-06-21  0.03
#> 1999-06-22 -0.01
#> 1999-06-23  0.00
#> 1999-06-24  0.00
#> 1999-06-25  0.00
#> 1999-06-28  0.00
#> 1999-06-29  0.02
#> 1999-06-30  0.04
#> 1999-07-01  0.01
#> 1999-07-02  0.01
#> 1999-07-06 -0.01
#> 1999-07-07  0.01
#> 1999-07-08  0.01
#> 1999-07-09  0.03
#> 1999-07-12  0.00
#> 1999-07-13  0.00
#> 1999-07-14  0.00
#> 1999-07-15 -0.01
#> 1999-07-16  0.00
#> 1999-07-19 -0.01
#> 1999-07-20 -0.05
#> 1999-07-21  0.01
#> 1999-07-22 -0.04
#> 1999-07-23  0.01
#> 1999-07-26 -0.01
#> 1999-07-27  0.03
#> 1999-07-28  0.02
#> 1999-07-29 -0.02
#> 1999-07-30  0.00
#> 1999-08-02 -0.03
#> 1999-08-03 -0.02
#> 1999-08-04 -0.01
#> 1999-08-05  0.04
#> 1999-08-06  0.00
#> 1999-08-09 -0.01
#> 1999-08-10 -0.02
#> 1999-08-11  0.03
#> 1999-08-12 -0.02
#> 1999-08-13  0.02
#> 1999-08-16  0.03
#> 1999-08-17  0.01
#> 1999-08-18 -0.04
#> 1999-08-19 -0.01
#> 1999-08-20 -0.01
#> 1999-08-23  0.02
#> 1999-08-24 -0.02
#> 1999-08-25  0.00
#> 1999-08-26  0.00
#> 1999-08-27  0.01
#> 1999-08-30 -0.01
#> 1999-08-31  0.01
#> 1999-09-01  0.02
#> 1999-09-02 -0.01
#> 1999-09-03  0.02
#> 1999-09-07  0.02
#> 1999-09-08 -0.01
#> 1999-09-09  0.03
#> 1999-09-10  0.00
#> 1999-09-13 -0.02
#> 1999-09-14  0.01
#> 1999-09-15 -0.01
#> 1999-09-16 -0.01
#> 1999-09-17 -0.04
#> 1999-09-20  0.04
#> 1999-09-21 -0.02
#> 1999-09-22 -0.02
#> 1999-09-23 -0.03
#> 1999-09-24  0.02
#> 1999-09-27 -0.02
#> 1999-09-28  0.00
#> 1999-09-29 -0.03
#> 1999-09-30  0.01
#> 1999-10-01 -0.03
#> 1999-10-04  0.02
#> 1999-10-05  0.02
#> 1999-10-06 -0.02
#> 1999-10-07 -0.02
#> 1999-10-08 -0.02
#> 1999-10-11  0.01
#> 1999-10-12 -0.04
#> 1999-10-13 -0.04
#> 1999-10-14  0.02
#> 1999-10-15  0.01
#> 1999-10-18 -0.01
#> 1999-10-19  0.00
#> 1999-10-20  0.00
#> 1999-10-21 -0.15
#> 1999-10-22  0.03
#> 1999-10-25  0.00
#> 1999-10-26  0.02
#> 1999-10-27 -0.03
#> 1999-10-28  0.02
#> 1999-10-29  0.03
#> 1999-11-01 -0.02
#> 1999-11-02 -0.02
#> 1999-11-03  0.00
#> 1999-11-04 -0.03
#> 1999-11-05 -0.01
#> 1999-11-08  0.04
#> 1999-11-09  0.00
#> 1999-11-10  0.04
#> 1999-11-11 -0.02
#> 1999-11-12  0.01
#> 1999-11-15 -0.02
#> 1999-11-16  0.01
#> 1999-11-17 -0.01
#> 1999-11-18  0.05
#> 1999-11-19  0.06
#> 1999-11-22  0.04
#> 1999-11-23 -0.02
#> 1999-11-24 -0.01
#> 1999-11-26  0.00
#> 1999-11-29 -0.01
#> 1999-11-30 -0.01
#> 1999-12-01  0.00
#> 1999-12-02  0.02
#> 1999-12-03  0.06
#> 1999-12-06  0.04
#> 1999-12-07  0.01
#> 1999-12-08  0.01
#> 1999-12-09 -0.04
#> 1999-12-10 -0.04
#> 1999-12-13  0.01
#> 1999-12-14  0.00
#> 1999-12-15 -0.02
#> 1999-12-16  0.02
#> 1999-12-17  0.01
#> 1999-12-20 -0.01
#> 1999-12-21  0.01
#> 1999-12-22 -0.02
#> 1999-12-23  0.01
#> 1999-12-27  0.01
#> 1999-12-28  0.00
#> 1999-12-29 -0.01
#> 1999-12-30  0.00
#> 1999-12-31 -0.01
#> 2000-01-03  0.08
#> 2000-01-04 -0.03
#> 2000-01-05  0.04
#> 2000-01-06 -0.02
#> 2000-01-07  0.00
#> 2000-01-10  0.04
#> 2000-01-11  0.01
#> 2000-01-12  0.00
#> 2000-01-13 -0.01
#> 2000-01-14  0.01
#> 2000-01-18 -0.03
#> 2000-01-19  0.03
#> 2000-01-20  0.00
#> 2000-01-21  0.02
#> 2000-01-24  0.00
#> 2000-01-25 -0.02
#> 2000-01-26 -0.02
#> 2000-01-27 -0.03
#> 2000-01-28 -0.02
#> 2000-01-31  0.01
#> 2000-02-01 -0.02
#> 2000-02-02  0.03
#> 2000-02-03  0.03
#> 2000-02-04 -0.01
#> 2000-02-07 -0.01
#> 2000-02-08  0.04
#> 2000-02-09 -0.01
#> 2000-02-10  0.01
#> 2000-02-11 -0.03
#> 2000-02-14  0.01
#> 2000-02-15  0.01
#> 2000-02-16 -0.01
#> 2000-02-17  0.01
#> 2000-02-18 -0.04
#> 2000-02-22 -0.01
#> 2000-02-23 -0.02
#> 2000-02-24  0.02
#> 2000-02-25 -0.02
#> 2000-02-28 -0.03
#> 2000-02-29 -0.02
#> 2000-03-01 -0.02
#> 2000-03-02  0.03
#> 2000-03-03  0.05
#> 2000-03-06 -0.05
#> 2000-03-07  0.00
#> 2000-03-08  0.03
#> 2000-03-09  0.02
#> 2000-03-10 -0.03
#> 2000-03-13  0.02
#> 2000-03-14  0.01
#> 2000-03-15 -0.01
#> 2000-03-16  0.02
#> 2000-03-17  0.01
#> 2000-03-20  0.03
#> 2000-03-21  0.01
#> 2000-03-22  0.01
#> 2000-03-23  0.01
#> 2000-03-24  0.05
#> 2000-03-27  0.05
#> 2000-03-28 -0.03
#> 2000-03-29 -0.03
#> 2000-03-30  0.03
#> 2000-03-31 -0.04
#> 2000-04-03  0.03
#> 2000-04-04 -0.01
#> 2000-04-05  0.03
#> 2000-04-06 -0.02
#> 2000-04-07  0.00
#> 2000-04-10 -0.01
#> 2000-04-11 -0.02
#> 2000-04-12 -0.05
#> 2000-04-13 -0.03
#> 2000-04-14 -0.05
#> 2000-04-17  0.07
#> 2000-04-18  0.00
#> 2000-04-19 -0.06
#> 2000-04-20 -0.01
#> 2000-04-24  0.02
#> 2000-04-25  0.06
#> 2000-04-26 -0.02
#> 2000-04-27  0.00
#> 2000-04-28  0.01
#> 2000-05-01  0.00
#> 2000-05-02 -0.01
#> 2000-05-03 -0.03
#> 2000-05-04  0.00
#> 2000-05-05  0.00
#> 2000-05-08  0.02
#> 2000-05-09 -0.01
#> 2000-05-10 -0.06
#> 2000-05-11  0.01
#> 2000-05-12  0.00
#> 2000-05-15  0.00
#> 2000-05-16  0.05
#> 2000-05-17 -0.01
#> 2000-05-18 -0.02
#> 2000-05-19  0.00
#> 2000-05-22  0.03
#> 2000-05-23 -0.02
#> 2000-05-24  0.02
#> 2000-05-25 -0.03
#> 2000-05-26  0.00
#> 2000-05-30  0.04
#> 2000-05-31 -0.03
#> 2000-06-01 -0.01
#> 2000-06-02  0.03
#> 2000-06-05  0.04
#> 2000-06-06  0.00
#> 2000-06-07  0.08
#> 2000-06-08 -0.01
#> 2000-06-09  0.00
#> 2000-06-12 -0.01
#> 2000-06-13  0.00
#> 2000-06-14 -0.03
#> 2000-06-15  0.01
#> 2000-06-16 -0.03
#> 2000-06-19  0.06
#> 2000-06-20 -0.03
#> 2000-06-21 -0.02
#> 2000-06-22 -0.02
#> 2000-06-23  0.00
#> 2000-06-26  0.02
#> 2000-06-27 -0.04
#> 2000-06-28  0.04
#> 2000-06-29  0.00
#> 2000-06-30 -0.04
#> 2000-07-03  0.00
#> 2000-07-05 -0.04
#> 2000-07-06 -0.04
#> 2000-07-07  0.04
#> 2000-07-10 -0.02
#> 2000-07-11 -0.01
#> 2000-07-12  0.03
#> 2000-07-13 -0.01
#> 2000-07-14  0.00
#> 2000-07-17  0.02
#> 2000-07-18 -0.02
#> 2000-07-19  0.05
#> 2000-07-20  0.08
#> 2000-07-21 -0.02
#> 2000-07-24 -0.02
#> 2000-07-25  0.00
#> 2000-07-26 -0.02
#> 2000-07-27  0.00
#> 2000-07-28  0.01
#> 2000-07-31  0.00
#> 2000-08-01 -0.02
#> 2000-08-02  0.03
#> 2000-08-03  0.02
#> 2000-08-04  0.00
#> 2000-08-07  0.00
#> 2000-08-08  0.02
#> 2000-08-09  0.00
#> 2000-08-10  0.01
#> 2000-08-11  0.01
#> 2000-08-14  0.02
#> 2000-08-15 -0.01
#> 2000-08-16  0.00
#> 2000-08-17  0.00
#> 2000-08-18 -0.02
#> 2000-08-21  0.01
#> 2000-08-22  0.00
#> 2000-08-23  0.02
#> 2000-08-24  0.01
#> 2000-08-25  0.03
#> 2000-08-28  0.02
#> 2000-08-29  0.01
#> 2000-08-30 -0.02
#> 2000-08-31  0.01
#> 2000-09-01  0.01
#> 2000-09-05 -0.02
#> 2000-09-06  0.00
#> 2000-09-07  0.01
#> 2000-09-08 -0.03
#> 2000-09-11 -0.04
#> 2000-09-12  0.00
#> 2000-09-13  0.02
#> 2000-09-14 -0.01
#> 2000-09-15 -0.01
#> 2000-09-18 -0.01
#> 2000-09-19  0.01
#> 2000-09-20  0.00
#> 2000-09-21 -0.03
#> 2000-09-22  0.02
#> 2000-09-25 -0.01
#> 2000-09-26 -0.03
#> 2000-09-27 -0.01
#> 2000-09-28 -0.02
#> 2000-09-29 -0.02
#> 2000-10-02  0.05
#> 2000-10-03 -0.06
#> 2000-10-04  0.03
#> 2000-10-05 -0.01
#> 2000-10-06  0.02
#> 2000-10-09  0.02
#> 2000-10-10 -0.03
#> 2000-10-11 -0.02
#> 2000-10-12 -0.08
#> 2000-10-13  0.06
#> 2000-10-16  0.02
#> 2000-10-17  0.02
#> 2000-10-18 -0.16
#> 2000-10-19  0.01
#> 2000-10-20 -0.02
#> 2000-10-23 -0.02
#> 2000-10-24 -0.02
#> 2000-10-25 -0.04
#> 2000-10-26  0.06
#> 2000-10-27  0.01
#> 2000-10-30  0.00
#> 2000-10-31  0.06
#> 2000-11-01  0.00
#> 2000-11-02  0.03
#> 2000-11-03 -0.02
#> 2000-11-06  0.00
#> 2000-11-07  0.02
#> 2000-11-08 -0.02
#> 2000-11-09 -0.01
#> 2000-11-10 -0.06
#> 2000-11-13  0.05
#> 2000-11-14  0.02
#> 2000-11-15  0.00
#> 2000-11-16 -0.01
#> 2000-11-17  0.04
#> 2000-11-20  0.01
#> 2000-11-21 -0.05
#> 2000-11-22  0.00
#> 2000-11-24  0.01
#> 2000-11-27 -0.01
#> 2000-11-28 -0.01
#> 2000-11-29  0.02
#> 2000-11-30 -0.06
#> 2000-12-01  0.02
#> 2000-12-04  0.03
#> 2000-12-05  0.05
#> 2000-12-06 -0.06
#> 2000-12-07 -0.04
#> 2000-12-08  0.04
#> 2000-12-11 -0.02
#> 2000-12-12 -0.01
#> 2000-12-13 -0.03
#> 2000-12-14  0.01
#> 2000-12-15 -0.05
#> 2000-12-18  0.03
#> 2000-12-19  0.00
#> 2000-12-20 -0.05
#> 2000-12-21 -0.05
#> 2000-12-22  0.09
#> 2000-12-26 -0.05
#> 2000-12-27  0.00
#> 2000-12-28  0.01
#> 2000-12-29  0.00
#> 2001-01-02  0.00
#> 2001-01-03  0.12
#> 2001-01-04 -0.02
#> 2001-01-05  0.01
#> 2001-01-08  0.00
#> 2001-01-09 -0.01
#> 2001-01-10  0.01
#> 2001-01-11  0.00
#> 2001-01-12  0.00
#> 2001-01-16 -0.01
#> 2001-01-17  0.04
#> 2001-01-18  0.12
#> 2001-01-19  0.03
#> 2001-01-22 -0.02
#> 2001-01-23  0.00
#> 2001-01-24  0.01
#> 2001-01-25  0.00
#> 2001-01-26  0.03
#> 2001-01-29  0.01
#> 2001-01-30  0.01
#> 2001-01-31 -0.04
#> 2001-02-01  0.02
#> 2001-02-02 -0.03
#> 2001-02-05  0.02
#> 2001-02-06  0.02
#> 2001-02-07  0.02
#> 2001-02-08 -0.02
#> 2001-02-09 -0.02
#> 2001-02-12  0.03
#> 2001-02-13 -0.01
#> 2001-02-14  0.01
#> 2001-02-15  0.01
#> 2001-02-16 -0.02
#> 2001-02-20 -0.03
#> 2001-02-21 -0.04
#> 2001-02-22  0.01
#> 2001-02-23 -0.04
#> 2001-02-26  0.01
#> 2001-02-27 -0.03
#> 2001-02-28 -0.03
#> 2001-03-01  0.06
#> 2001-03-02 -0.04
#> 2001-03-05  0.03
#> 2001-03-06  0.01
#> 2001-03-07  0.01
#> 2001-03-08 -0.01
#> 2001-03-09 -0.07
#> 2001-03-12 -0.04
#> 2001-03-13  0.03
#> 2001-03-14 -0.03
#> 2001-03-15  0.01
#> 2001-03-16 -0.06
#> 2001-03-19  0.03
#> 2001-03-20 -0.05
#> 2001-03-21  0.01
#> 2001-03-22  0.00
#> 2001-03-23  0.05
#> 2001-03-26  0.02
#> 2001-03-27  0.04
#> 2001-03-28 -0.05
#> 2001-03-29  0.01
#> 2001-03-30  0.01
#> 2001-04-02 -0.02
#> 2001-04-03 -0.05
#> 2001-04-04  0.02
#> 2001-04-05  0.07
#> 2001-04-06  0.00
#> 2001-04-09 -0.02
#> 2001-04-10  0.03
#> 2001-04-11 -0.02
#> 2001-04-12 -0.01
#> 2001-04-16  0.01
#> 2001-04-17  0.03
#> 2001-04-18  0.07
#> 2001-04-19  0.07
#> 2001-04-20  0.00
#> 2001-04-23 -0.02
#> 2001-04-24  0.01
#> 2001-04-25  0.02
#> 2001-04-26 -0.01
#> 2001-04-27  0.02
#> 2001-04-30 -0.01
#> 2001-05-01  0.03
#> 2001-05-02 -0.03
#> 2001-05-03 -0.01
#> 2001-05-04  0.02
#> 2001-05-07  0.00
#> 2001-05-08  0.02
#> 2001-05-09 -0.01
#> 2001-05-10 -0.02
#> 2001-05-11 -0.03
#> 2001-05-14  0.01
#> 2001-05-15  0.01
#> 2001-05-16  0.02
#> 2001-05-17 -0.01
#> 2001-05-18  0.02
#> 2001-05-21  0.01
#> 2001-05-22 -0.01
#> 2001-05-23 -0.01
#> 2001-05-24  0.02
#> 2001-05-25 -0.02
#> 2001-05-29 -0.02
#> 2001-05-30 -0.02
#> 2001-05-31 -0.01
#> 2001-06-01  0.01
#> 2001-06-04  0.01
#> 2001-06-05  0.03
#> 2001-06-06  0.00
#> 2001-06-07  0.00
#> 2001-06-08 -0.01
#> 2001-06-11  0.01
#> 2001-06-12  0.00
#> 2001-06-13 -0.01
#> 2001-06-14 -0.01
#> 2001-06-15 -0.02
#> 2001-06-18  0.01
#> 2001-06-19  0.01
#> 2001-06-20 -0.02
#> 2001-06-21  0.00
#> 2001-06-22  0.00
#> 2001-06-25  0.00
#> 2001-06-26  0.00
#> 2001-06-27  0.00
#> 2001-06-28  0.01
#> 2001-06-29 -0.01
#> 2001-07-02  0.01
#> 2001-07-03 -0.01
#> 2001-07-05 -0.01
#> 2001-07-06 -0.05
#> 2001-07-09 -0.02
#> 2001-07-10 -0.03
#> 2001-07-11  0.02
#> 2001-07-12  0.03
#> 2001-07-13  0.01
#> 2001-07-16 -0.01
#> 2001-07-17  0.01
#> 2001-07-18 -0.04
#> 2001-07-19  0.00
#> 2001-07-20  0.02
#> 2001-07-23  0.00
#> 2001-07-24 -0.01
#> 2001-07-25  0.00
#> 2001-07-26  0.01
#> 2001-07-27 -0.01
#> 2001-07-30  0.01
#> 2001-07-31 -0.01
#> 2001-08-01  0.02
#> 2001-08-02  0.02
#> 2001-08-03 -0.01
#> 2001-08-06 -0.02
#> 2001-08-07  0.00
#> 2001-08-08 -0.02
#> 2001-08-09  0.00
#> 2001-08-10  0.01
#> 2001-08-13  0.01
#> 2001-08-14  0.00
#> 2001-08-15 -0.01
#> 2001-08-16  0.01
#> 2001-08-17 -0.01
#> 2001-08-20  0.00
#> 2001-08-21 -0.02
#> 2001-08-22  0.02
#> 2001-08-23 -0.01
#> 2001-08-24  0.04
#> 2001-08-27  0.00
#> 2001-08-28 -0.02
#> 2001-08-29 -0.01
#> 2001-08-30 -0.04
#> 2001-08-31  0.00
#> 2001-09-04  0.02
#> 2001-09-05 -0.01
#> 2001-09-06 -0.02
#> 2001-09-07 -0.01
#> 2001-09-10  0.00
#> 2001-09-17 -0.03
#> 2001-09-18  0.03
#> 2001-09-19  0.00
#> 2001-09-20 -0.03
#> 2001-09-21 -0.03
#> 2001-09-24  0.05
#> 2001-09-25  0.00
#> 2001-09-26 -0.03
#> 2001-09-27 -0.01
#> 2001-09-28  0.02
#> 2001-10-01  0.01
#> 2001-10-02  0.01
#> 2001-10-03  0.03
#> 2001-10-04  0.00
#> 2001-10-05  0.01
#> 2001-10-08  0.00
#> 2001-10-09 -0.01
#> 2001-10-10  0.00
#> 2001-10-11  0.02
#> 2001-10-12  0.01
#> 2001-10-15  0.01
#> 2001-10-16  0.00
#> 2001-10-17  0.01
#> 2001-10-18 -0.02
#> 2001-10-19  0.01
#> 2001-10-22  0.03
#> 2001-10-23  0.01
#> 2001-10-24  0.03
#> 2001-10-25  0.02
#> 2001-10-26  0.00
#> 2001-10-29 -0.02
#> 2001-10-30  0.00
#> 2001-10-31 -0.01
#> 2001-11-01  0.02
#> 2001-11-02  0.00
#> 2001-11-05  0.00
#> 2001-11-06  0.03
#> 2001-11-07  0.00
#> 2001-11-08  0.00
#> 2001-11-09  0.00
#> 2001-11-12  0.01
#> 2001-11-13  0.02
#> 2001-11-14 -0.02
#> 2001-11-15  0.00
#> 2001-11-16  0.00
#> 2001-11-19  0.00
#> 2001-11-20  0.00
#> 2001-11-21 -0.01
#> 2001-11-23  0.01
#> 2001-11-26  0.01
#> 2001-11-27 -0.02
#> 2001-11-28 -0.02
#> 2001-11-29  0.02
#> 2001-11-30  0.01
#> 2001-12-03 -0.01
#> 2001-12-04  0.02
#> 2001-12-05  0.04
#> 2001-12-06 -0.01
#> 2001-12-07  0.00
#> 2001-12-10 -0.01
#> 2001-12-11  0.02
#> 2001-12-12  0.01
#> 2001-12-13 -0.02
#> 2001-12-14  0.01
#> 2001-12-17  0.00
#> 2001-12-18  0.01
#> 2001-12-19  0.01
#> 2001-12-20 -0.01
#> 2001-12-21 -0.01
#> 2001-12-24  0.00
#> 2001-12-26  0.01
#> 2001-12-27  0.01
#> 2001-12-28  0.00
#> 2001-12-31 -0.02
#> 2002-01-02  0.00
#> 2002-01-03  0.02
#> 2002-01-04  0.02
#> 2002-01-07 -0.01
#> 2002-01-08  0.01
#> 2002-01-09  0.00
#> 2002-01-10 -0.02
#> 2002-01-11 -0.01
#> 2002-01-14 -0.02
#> 2002-01-15  0.01
#> 2002-01-16 -0.01
#> 2002-01-17  0.02
#> 2002-01-18 -0.05
#> 2002-01-22 -0.03
#> 2002-01-23 -0.02
#> 2002-01-24  0.01
#> 2002-01-25  0.01
#> 2002-01-28 -0.01
#> 2002-01-29 -0.05
#> 2002-01-30  0.02
#> 2002-01-31  0.02
#> 2002-02-01  0.00
#> 2002-02-04 -0.01
#> 2002-02-05  0.00
#> 2002-02-06  0.00
#> 2002-02-07 -0.03
#> 2002-02-08  0.01
#> 2002-02-11  0.02
#> 2002-02-12 -0.01
#> 2002-02-13  0.01
#> 2002-02-14  0.00
#> 2002-02-15 -0.05
#> 2002-02-19 -0.02
#> 2002-02-20 -0.02
#> 2002-02-21 -0.03
#> 2002-02-22  0.02
#> 2002-02-25  0.00
#> 2002-02-26 -0.01
#> 2002-02-27  0.01
#> 2002-02-28  0.00
#> 2002-03-01  0.05
#> 2002-03-04  0.03
#> 2002-03-05  0.00
#> 2002-03-06  0.01
#> 2002-03-07 -0.02
#> 2002-03-08  0.01
#> 2002-03-11  0.00
#> 2002-03-12  0.03
#> 2002-03-13 -0.01
#> 2002-03-14 -0.01
#> 2002-03-15  0.00
#> 2002-03-18  0.00
#> 2002-03-19  0.01
#> 2002-03-20 -0.02
#> 2002-03-21  0.01
#> 2002-03-22 -0.01
#> 2002-03-25 -0.02
#> 2002-03-26 -0.01
#> 2002-03-27  0.00
#> 2002-03-28  0.01
#> 2002-04-01 -0.01
#> 2002-04-02 -0.02
#> 2002-04-03 -0.01
#> 2002-04-04  0.01
#> 2002-04-05 -0.04
#> 2002-04-08 -0.10
#> 2002-04-09  0.00
#> 2002-04-10  0.01
#> 2002-04-11 -0.05
#> 2002-04-12  0.02
#> 2002-04-15  0.00
#> 2002-04-16  0.01
#> 2002-04-17 -0.02
#> 2002-04-18  0.05
#> 2002-04-19  0.00
#> 2002-04-22 -0.01
#> 2002-04-23 -0.01
#> 2002-04-24 -0.01
#> 2002-04-25  0.00
#> 2002-04-26 -0.02
#> 2002-04-29 -0.01
#> 2002-04-30  0.00
#> 2002-05-01  0.01
#> 2002-05-02 -0.01
#> 2002-05-03 -0.02
#> 2002-05-06 -0.07
#> 2002-05-07  0.01
#> 2002-05-08  0.08
#> 2002-05-09 -0.03
#> 2002-05-10  0.00
#> 2002-05-13  0.03
#> 2002-05-14  0.04
#> 2002-05-15 -0.01
#> 2002-05-16  0.01
#> 2002-05-17  0.00
#> 2002-05-20 -0.01
#> 2002-05-21 -0.01
#> 2002-05-22  0.01
#> 2002-05-23  0.00
#> 2002-05-24 -0.01
#> 2002-05-28 -0.01
#> 2002-05-29 -0.01
#> 2002-05-30  0.01
#> 2002-05-31 -0.02
#> 2002-06-03 -0.03
#> 2002-06-04  0.02
#> 2002-06-05  0.02
#> 2002-06-06 -0.01
#> 2002-06-07 -0.02
#> 2002-06-10 -0.02
#> 2002-06-11 -0.02
#> 2002-06-12 -0.01
#> 2002-06-13  0.01
#> 2002-06-14  0.01
#> 2002-06-17  0.01
#> 2002-06-18 -0.02
#> 2002-06-19 -0.03
#> 2002-06-20 -0.02
#> 2002-06-21 -0.04
#> 2002-06-24  0.01
#> 2002-06-25 -0.02
#> 2002-06-26  0.02
#> 2002-06-27  0.03
#> 2002-06-28  0.00
#> 2002-07-01 -0.06
#> 2002-07-02  0.01
#> 2002-07-03  0.03
#> 2002-07-05  0.04
#> 2002-07-08 -0.03
#> 2002-07-09 -0.02
#> 2002-07-10 -0.01
#> 2002-07-11  0.01
#> 2002-07-12  0.00
#> 2002-07-15  0.03
#> 2002-07-16 -0.03
#> 2002-07-17  0.02
#> 2002-07-18  0.02
#> 2002-07-19  0.00
#> 2002-07-22 -0.05
#> 2002-07-23 -0.02
#> 2002-07-24  0.04
#> 2002-07-25  0.00
#> 2002-07-26 -0.04
#> 2002-07-29  0.07
#> 2002-07-30  0.01
#> 2002-07-31 -0.02
#> 2002-08-01 -0.03
#> 2002-08-02 -0.01
#> 2002-08-05 -0.03
#> 2002-08-06  0.03
#> 2002-08-07  0.02
#> 2002-08-08  0.04
#> 2002-08-09  0.00
#> 2002-08-12  0.00
#> 2002-08-13  0.00
#> 2002-08-14  0.04
#> 2002-08-15  0.02
#> 2002-08-16  0.04
#> 2002-08-19  0.04
#> 2002-08-20 -0.01
#> 2002-08-21  0.00
#> 2002-08-22  0.01
#> 2002-08-23 -0.02
#> 2002-08-26 -0.01
#> 2002-08-27 -0.02
#> 2002-08-28 -0.02
#> 2002-08-29  0.01
#> 2002-08-30 -0.02
#> 2002-09-03 -0.04
#> 2002-09-04  0.02
#> 2002-09-05 -0.02
#> 2002-09-06  0.01
#> 2002-09-09  0.02
#> 2002-09-10  0.01
#> 2002-09-11 -0.02
#> 2002-09-12 -0.03
#> 2002-09-13  0.01
#> 2002-09-16  0.00
#> 2002-09-17 -0.01
#> 2002-09-18 -0.03
#> 2002-09-19 -0.07
#> 2002-09-20 -0.01
#> 2002-09-23 -0.01
#> 2002-09-24 -0.06
#> 2002-09-25  0.05
#> 2002-09-26 -0.02
#> 2002-09-27 -0.03
#> 2002-09-30 -0.03
#> 2002-10-01  0.05
#> 2002-10-02 -0.03
#> 2002-10-03  0.01
#> 2002-10-04 -0.06
#> 2002-10-07  0.00
#> 2002-10-08  0.00
#> 2002-10-09 -0.03
#> 2002-10-10  0.05
#> 2002-10-11  0.11
#> 2002-10-14 -0.01
#> 2002-10-15  0.08
#> 2002-10-16 -0.05
#> 2002-10-17  0.11
#> 2002-10-18  0.03
#> 2002-10-21  0.02
#> 2002-10-22 -0.01
#> 2002-10-23  0.00
#> 2002-10-24 -0.03
#> 2002-10-25  0.03
#> 2002-10-28  0.03
#> 2002-10-29  0.00
#> 2002-10-30  0.03
#> 2002-10-31  0.00
#> 2002-11-01  0.02
#> 2002-11-04  0.03
#> 2002-11-05 -0.01
#> 2002-11-06  0.00
#> 2002-11-07 -0.03
#> 2002-11-08 -0.02
#> 2002-11-11  0.00
#> 2002-11-12  0.02
#> 2002-11-13  0.00
#> 2002-11-14  0.02
#> 2002-11-15 -0.01
#> 2002-11-18 -0.01
#> 2002-11-19 -0.01
#> 2002-11-20  0.04
#> 2002-11-21  0.04
#> 2002-11-22 -0.01
#> 2002-11-25  0.02
#> 2002-11-26 -0.01
#> 2002-11-27  0.03
#> 2002-11-29 -0.01
#> 2002-12-02  0.00
#> 2002-12-03 -0.02
#> 2002-12-04 -0.02
#> 2002-12-05 -0.01
#> 2002-12-06 -0.01
#> 2002-12-09 -0.03
#> 2002-12-10  0.02
#> 2002-12-11  0.01
#> 2002-12-12 -0.02
#> 2002-12-13  0.00
#> 2002-12-16  0.02
#> 2002-12-17 -0.02
#> 2002-12-18 -0.01
#> 2002-12-19 -0.01
#> 2002-12-20  0.01
#> 2002-12-23  0.01
#> 2002-12-24 -0.01
#>  [ reached getOption("max.print") -- omitted 1011 rows ]

calculate simple or compound returns from prices

Arguments

Details

References

See also

Examples

Contents

Author