CalculateReturns {PerformanceAnalytics}R Documentation

calculate simple or compound returns from prices

Description

calculate simple or compound returns from prices

Usage

CalculateReturns(prices, method=c("compound","simple"))

Arguments

prices data object containing ordered price observations
method calculate "simple" or "compound" returns, default compound

Value

vector or matrix of simple or compound returns

Author(s)

Peter Carl

References

See Also

Return.cumulative

Examples

require(tseries)
prices = get.hist.quote("^gspc", start = "1999-01-01", end = "2007-01-01", quote = "Close", compression = "m")
returns = CalculateReturns(prices, method="simple")
colnames(returns)="SP500"

[Package PerformanceAnalytics version 0.9.4 Index]