I'm trying to do a very simple calculation using chart.CumReturns function. Somehow, the result looks utterly odd. It can't be right. Can someone point out the error?
data <- structure(list(Date = structure(c(15005, 15033, 15064, 15093,
15125, 15155, 15184, 15217, 15247, 15278, 15308, 15338, 15370,
15399, 15429, 15460, 15491, 15520, 15552, 15583, 15611, 15644,
15674, 15705, 15736, 15764, 15793, 15825, 15856, 15884, 15917,
15947, 15978, 16009, 16038, 16070, 16101, 16129, 16160, 16190,
16220, 16251, 16282, 16311, 16343, 16374, 16402, 16435, 16465,
16493, 16525, 16555, 16584, 16616, 16647, 16678, 16708, 16738,
16769, 16800, 16829, 16860, 16878), class = "Date"), close = c(28.31,
28.9, 27.95, 28.91, 28.85, 27.57, 26.86, 24.16, 22.94, 24.62,
24.26, 24.77, 25.81, 26.88, 26.58, 26.17, 24.64, 25.51, 26.52,
27, 27.11, 27.33, 27.94, 28.3, 29.11, 29.39, 29.67, 30.2, 30.9,
28.82, 30.39, 30.22, 31.31, 32.57, 32.87, 32.91, 32.41, 34.04,
33.64, 34.22, 35.23, 34.57, 34.03, 34.66, 34.4, 33.89, 35.04,
34.25, 36.98, 39.48, 40.02, 40.08, 40.73, 38.5, 40.14, 36.78,
34.91, 37.83, 38.81, 36.9, 34.28, 33.56, 34.13)), .Names = c("Date",
"close"), row.names = c(NA, -63L), class = "data.frame")
library(PerformanceAnalytics)
x <- xts(data$close, order.by = data$Date)
chart.CumReturns(x)
Oddly, I had to use order.by = to convert the data to xts.
The chart looks just not right. The return skyrockets towards the end.
But everywhere else is flat.
Where is the mistake?
chart.CumReturns requires returns not prices, you need to convert those prices to returns.
e.g.
returns <- Return.calculate(x)
chart.CumReturns(returns)