to_monthly

to_monthly will convert daily returns to monthly returns.

A collection of functions and data sets that support teaching
a quantitative finance MS level course on Portfolio Construction and Risk
Analysis, and the writing of a textbook for such a course.  The package is
unique in providing several real-world data sets that may be used for problem
assignments and student projects.  The data sets include cross-sections of
stock data from the Center for Research on Security Prices, LLC (CRSP),
corresponding factor exposures data from S&P Global, and several SP500 data
sets.

Doug Martin

PCRA

Companion to Portfolio Construction and Risk Analysis

Alexios Galanos

Kirk Li

Jon Spinney

Thomas Philips

to_monthly function

<dl><dt>daily</dt>
<dd>An xts object of daily returns.</dd>
<dt>index_last</dt>
<dd>Controls whether the return date label will fall on the 
month end date provided in the dataset (usually the final trading date of the
month in most financial data sets) or the calendar month end date 
(potentially a non-trading date). Regardless, the returns are identical 
under two scenarios, but the date may differ for the "month end".</dd></dl>

Arguments

Function to convert from daily to weekly returns. — to_monthly

<dl>

<dt>daily</dt>
<dd>An xts object of daily returns.</dd>


<dt>index_last</dt>
<dd>Controls whether the return date label will fall on the 
month end date provided in the dataset (usually the final trading date of the
month in most financial data sets) or the calendar month end date 
(potentially a non-trading date). Regardless, the returns are identical 
under two scenarios, but the date may differ for the "month end".</dd>

</dl>

to_monthly: Function to convert from daily to weekly returns.

Description

Usage

Value

Arguments

Details

Examples