chart.CumReturns
uses geometric chaining (a product) by default, not arithmetic chaining (a sum). Just set geometric=FALSE
:
chart.CumReturns(pnls.allin[,1], geometric=FALSE)
Question
I have a matrix of returns for x assets.
I can plot the cumulative performance like this:
pnls.cum<-apply(pnls.allin , 2 , cumsum)
plot(pnls.cum[,1],type="l")
or
chart.CumReturns(pnls.allin[,1])
But the graphs are subtly different (highs/lows etc) . Is there reason why?
Solution
chart.CumReturns
uses geometric chaining (a product) by default, not arithmetic chaining (a sum). Just set geometric=FALSE
:
chart.CumReturns(pnls.allin[,1], geometric=FALSE)