CODEWITHSUNDEEP
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nohomejerome
nohomejerome

Reputation: 141

R: Annualize rolling quaterly returns

I am new to R and have a quite basic question I guess. I couldn't find help for my specific issue.

I have a data frame consisting of two columns. The first indicating the year and quarter (e.g. 19901, 19902, 19903 etc.). The second shows the corresponding quarterly return.

Now, I want to annualize the returns. As a result I want to have a data.frame with only a year column and the corresponding annualized return.

I know there is the function Return.annualized from the ‘PerformanceAnalytics’ package. However, this function does not calculate rolling annualized returns.

Is there a nice package or function that could solve my problem?

Any help is really appreciated. Thank you!

Upvotes: 1

Views: 175

Answers (1)

okost
okost

Reputation: 225

If you have log returns, they exhibit the nice advantage of being summable over time.

If that's the case you can simply apply a rolling window that sums the four previous quarters.

Let's assume you have a vector or list with quarterly log returns called q_ret

library('zoo')


an_ret <- rollapply(q_ret, 4, sum)

Note, that from a finance perspective, this does not hold with simple returns.

Upvotes: 1

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