apply.fromstart: calculate a function over an expanding window always starting from the
beginning of the series
Description
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.
Usage
apply.fromstart(R, FUN = "mean", gap = 1, ...)
Arguments
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
Return.annualized will)
gap
the number of data points from the beginning
of the series required to train the calculation