Hi all,
I am using the
t(table.AnnualizedReturns(tradedata$daily.pnl.norm["2003/2010"],Rf=0,geometric=TRUE))
at the Performance Analytics package to calculate the annualized returns,
stdev and sharpe for the strategies output.
The function returns a table like the one below for all the years included
at the dataseries:
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%)
daily.pnl.norm 0.1018 0.0617 1.649
I was wondering if there is a way to calculate the same metrics on a yearly
basis. As an example:
Annualized Return Annualized Std Dev Annualized
Sharpe (Rf=0%)
daily.pnl.norm[2003] 0.1018 0.0617
1.649
daily.pnl.norm[2004] 0.0200 0.0200
1.000
daily.pnl.norm[2005] 0.0100 0.0200
0.500
.
.
.
.
Is there any table that i can use to calculate the above table?
Thank you,
Nikos
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