1.5 Further Reading: Return Calculations
This chapter describes basic asset return calculations with an emphasis on equity calculations. Similar material is covered in Chapter 2 of (Ruppert and Matteson 2015). Comprehensive coverage of general return calculations is given in (Bacon 2008) and (Christopherson, Carino, and Ferson 2009).
This chapter introduced you to the R packages PerformanceAnalytics, quantmod, and xts for working with financial time series. It is recommended to read the vignettes included in each of these packages. Jeff Ryan’s original quantmod page, while a bit outdated, has many useful examples of working with quantmod and xts. A good online tutorial for the xts package is provided by Joshua Ulrich, one of the creators of xts.
There are many useful R packages for the analysis of financial data. An up-to-date list of R packages relevant for finance is given on the Empirical Finance Task View on the comprehensive R archive network (CRAN).
Bacon, C. 2008. Practical Portfolio Performance Measurement and Attribution, Second Edition. Chichester, England: John Wiley & Sons.
Christopherson, J. A., D. R. Carino, and W. E. Ferson. 2009. Portfolio Performance Measurement and Benchmarking. McGraw-Hill.
Ruppert, D., and D. S. Matteson. 2015. Statistics and Data Analysis for Financial Engineering with R Examples. New York: Springer.