braverock/PerformanceAnalytics

Problem with geometric = TRUE in Return.rebalancing

Closed this issue · 1 comments

Description

The choices geometric = TRUE and geometric = FALSE result in the same result to machine precision in Return.rebalancing, and the result is arithmetic in both cases

Expected behavior

geometric = TRUE should give geometric returns

Minimal, reproducible example

GmvLSgeom <- Return.rebalancing(returns,wtsGmvLS)
GmvLSarith <- Return.rebalancing(returns,wtsGmvLS, geometric = FALSE)
GmvLSgeom - GmvLSarith

Session Info

[Insert your sessionInfo() output]

This is not a reproducible example. Neither your returns object nor your wtsGmvLS object are attached.

Please see the vignette:
https://cran.r-project.org/web/packages/PerformanceAnalytics/vignettes/portfolio_returns.pdf

All my local tests appear fine. If you are still having problems, please reopen with an actually reproducible example.