portfolio_bacon.RdA xts object that contains columns of monthly returns for an example of portfolio and its benchmark
portfolio_baconCSV conformed into an xts object with monthly observations
data(portfolio_bacon)
#preview the data
head(portfolio_bacon)
#> portfolio.monthly.return.... benchmark.return....
#> 2000-01-30 0.003 0.002
#> 2000-02-27 0.026 0.025
#> 2000-03-30 0.011 0.018
#> 2000-04-29 -0.010 -0.011
#> 2000-05-30 0.015 0.014
#> 2000-06-29 0.025 0.018
#summary period statistics
summary(portfolio_bacon)
#> Index portfolio.monthly.return.... benchmark.return....
#> Min. :2000-01-30 Min. :-0.0650 Min. :-0.06700
#> 1st Qu.:2000-07-22 1st Qu.:-0.0110 1st Qu.:-0.00725
#> Median :2001-01-14 Median : 0.0130 Median : 0.01450
#> Mean :2001-01-13 Mean : 0.0090 Mean : 0.01004
#> 3rd Qu.:2001-07-06 3rd Qu.: 0.0295 3rd Qu.: 0.02850
#> Max. :2001-12-30 Max. : 0.0810 Max. : 0.08300
#cumulative returns
tail(cumprod(1+portfolio_bacon),1)
#> portfolio.monthly.return.... benchmark.return....
#> 2001-12-30 1.218106 1.249887