table.RollingPeriods {PerformanceAnalytics} | R Documentation

## Rolling Periods Summary: Statistics and Stylized Facts

### Description

A table of estimates of rolling period return measures

### Usage

    table.RollingPeriods(R,
                         periods = subset(c(3, 6, 9, 12, 18, 24, 36, 48),c(3, 6, 9, 12, 18, 24, 36, 48) < length(as.matrix(R[,1]))),
                         scale = 12, rf = 0,
                         FUNCS = c("mean", "sd"),
                         digits = 4,
                         ...)

### Arguments

`R` | a vector, matrix, data frame, timeSeries or zoo object of asset returns
`periods` | number of periods to use as rolling window(s), subset of `c(3, 6, 9, 12, 18, 24, 36, 48)`
`rf` | risk free rate, in same period as your returns
`scale` | number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)
`FUNCS` | list of functions to apply the rolling period to
`digits` | number of digits to round results to
`...` | any other passthru parameters

### Value

A table of estimates of rolling period return measures

### Author(s)

Peter Carl

### References

### See Also

### Examples

    data(edhec)
    table.RollingPeriods(edhec[,10:13], FUNCS=c("SharpeRatio","VaR.CornishFisher"),periods=c(12,24,36))

[Package PerformanceAnalytics version 0.9.5 Index]