table.RollingPeriods {PerformanceAnalytics} | R Documentation |
A table of estimates of rolling period return measures
table.RollingPeriods(R, periods = subset(c(3, 6, 9, 12, 18, 24, 36, 48),c(3, 6, 9, 12, 18, 24, 36, 48) < length(as.matrix(R[,1]))), scale = 12, rf = 0, FUNCS = c("mean", "sd"), digits = 4, ...)
R |
a vector, matrix, data frame, timeSeries or zoo object of asset returns |
periods |
number of periods to use as rolling window(s), subset of c(3, 6, 9, 12, 18, 24, 36, 48) |
rf |
risk free rate, in same period as your returns |
scale |
number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4) |
FUNCS |
list of functions to apply the rolling period to |
digits |
number of digits to round results to |
... |
any other passthru parameters |
A table of estimates of rolling period return measures
Peter Carl
data(edhec) table.RollingPeriods(edhec[,10:13], FUNCS=c("SharpeRatio","VaR.CornishFisher"),periods=c(12,24,36))