YRmisc (version 0.1.6)

pt.cmexrtn: Cumulative excess return

Description

Cumulative return is the compounded return in a given period. The excess return is the difference between the cumulative return of a risky asset and the cumulative return of a benchmark.

Usage

pt.cmexrtn(ar,br)

Arguments

ar

:a vector of risky asset returns

br

:a vector of benchmark returns

Examples

# NOT RUN {
brtn <- runif(12, -1, 1)
artn <- runif(12, -1, 1)
pt.cmexrtn(artn,brtn)
# }