function ror
ror(
x: array,
mode?: string,
dim?: 0 | 1,
): number

Simple Rate of Return.

Simple rate of return calculated from the last and the first value of an array of numbers. Can work with return series or cumulative value series.

Examples

Simple rate of return on return series

import { assertEquals } from "jsr:@std/assert";

var x = [0.003,0.026,0.015,-0.009,0.014,0.024,0.015,0.066,-0.014,0.039];
assertEquals(ror(x), 0.18779277315203946);

Rate of return on cumulative value series

import { assertEquals } from "jsr:@std/assert";

assertEquals(ror([100,101,99,98,97,102,103,104],'cum'), 0.040000000000000036);

Rate of return on multiple series

import { assertEquals } from "jsr:@std/assert";

var x = [0.003,0.026,0.015,-0.009,0.014,0.024,0.015,0.066,-0.014,0.039];

var y = [-0.005,0.081,0.04,-0.037,-0.061,0.058,-0.049,-0.021,0.062,0.058];
assertEquals(ror(x,'ret'), 0.18779277315203946);
assertEquals(ror(y,'ret'), 0.12514883159358225);

Parameters

x: array

array or matrix of returns or values

optional
mode: string

mode of values, 'ret' for returns, 'cum' for cumulative (def: 'ret')

optional
dim: 0 | 1

dimension 0: row, 1: column (def: 0)

Return Type

number

Simple Rate of Return

ror(
x: matrix,
mode?: string,
dim?: 0 | 1,
): array | matrix

Simple Rate of Return.

Simple rate of return calculated from the last and the first value of an array of numbers. Can work with return series or cumulative value series.

Examples

Simple rate of return on return series

import { assertEquals } from "jsr:@std/assert";

var x = [0.003,0.026,0.015,-0.009,0.014,0.024,0.015,0.066,-0.014,0.039];
assertEquals(ror(x), 0.18779277315203946);

Rate of return on cumulative value series

import { assertEquals } from "jsr:@std/assert";

assertEquals(ror([100,101,99,98,97,102,103,104],'cum'), 0.040000000000000036);

Rate of return on multiple series

import { assertEquals } from "jsr:@std/assert";

var x = [0.003,0.026,0.015,-0.009,0.014,0.024,0.015,0.066,-0.014,0.039];

var y = [-0.005,0.081,0.04,-0.037,-0.061,0.058,-0.049,-0.021,0.062,0.058];
assertEquals(ror(x,'ret'), 0.18779277315203946);
assertEquals(ror(y,'ret'), 0.12514883159358225);

Parameters

array or matrix of returns or values

optional
mode: string

mode of values, 'ret' for returns, 'cum' for cumulative (def: 'ret')

optional
dim: 0 | 1

dimension 0: row, 1: column (def: 0)

Return Type

Simple Rate of Return

Usage

import ror from "quants/ror.ts";