periodReturn: Calculate Periodic Returns

Description

Given a set of prices, return periodic returns.

Usage

periodReturn(x,
             period='monthly',
             subset=NULL,
             type='arithmetic',
             leading=TRUE,
             ...)
dailyReturn(x, subset=NULL, type='arithmetic',
           leading=TRUE, ...)
weeklyReturn(x, subset=NULL, type='arithmetic',
           leading=TRUE, ...)
monthlyReturn(x, subset=NULL, type='arithmetic',
           leading=TRUE, ...)
quarterlyReturn(x, subset=NULL, type='arithmetic',
           leading=TRUE, ...)
annualReturn(x, subset=NULL, type='arithmetic',
           leading=TRUE, ...)
yearlyReturn(x, subset=NULL, type='arithmetic',
           leading=TRUE, ...)
allReturns(x, subset=NULL, type='arithmetic',
           leading=TRUE)

Arguments

object of state prices, or an OHLC type object

period

character string indicating time period. Valid entries are ‘daily’, ‘weekly’, ‘monthly’, ‘quarterly’, ‘yearly’. All are accessible from wrapper functions described below. Defaults to monthly returns (same as monthlyReturn)

subset

an xts/ISO8601 style subset string

type

type of returns: arithmetic (discrete) or log (continuous)

leading

should incomplete leading period returns be returned

…

passed along to to.period

Value

Returns object of the class that was originally passed in, with the possible exception of monthly and quarterly return indicies being changed to class yearmon and yearqtr where available. This can be overridden with the indexAt argument passed in the … to the to.period function.

By default, if subset is NULL, the full dataset will be used.

Details

periodReturn is the underlying function for wrappers:

allReturns: calculate all available return periods
dailyReturn: calculate daily returns
weeklyReturn: calculate weekly returns
monthlyReturn: calculate monthly returns
quarterlyReturn: calculate quarterly returns
annualReturn: calculate annual returns

Examples

Run this code

## Not run: ------------------------------------
# getSymbols('QQQQ',src='yahoo')
# allReturns(QQQQ)  # returns all periods
# 
# periodReturn(QQQQ,period='yearly',subset='2003::')  # returns years 2003 to present
# periodReturn(QQQQ,period='yearly',subset='2003')  # returns year 2003
# 
# rm(QQQQ)
## ---------------------------------------------