periodReturn {quantmod} | R Documentation |

Given a set of prices, return periodic returns.

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)

`x` |
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 |

`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

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.

Attempts are made to re-convert the resultant series to its original
class, if supported by the xts package. At present, objects inheriting
from the ‘ts’ class are returned as `xts`

objects. This
is to make the results more visually appealling and informative. All
`xts`

objects can be converted to class `ts`

with
`as.ts`

if that is desirable.

The first and final row of returned object will have the period return to last date,
i.e. this week/month/quarter/year return to date even if the start/end is not the start/end
of the period. Leading period calculations can be suppressed by setting `leading=FALSE`

.

Jeffrey A. Ryan

## 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) ## End(Not run)

[Package *quantmod* version 0.3-6 Index]