PerformanceAnalytics
PerformanceAnalytics copied to clipboard
Return.annualized should have na.omit argument, rather than disregarding NAs
It would be great if there is an option to control the treatment of NA, like in base functions mean and sum.
I would prefer if the following returned NA, rather than 0.1489125
Return.annualized(c(0.1, 0.2, NA), scale = 1)
This wrapper also works, but just saying would be a good option to have by default.
Return.annualized.na <- function(vector, ...) {
if (any(is.na(vector))) {
return(NA)
} else {
PerformanceAnalytics::Return.annualized(R = vector, ...)
}
}