[R] Merge xts and Return.portfolio

[Simone Medori]

Hi,
I'm triyng to merge two xts time series objects, one of them is from Return.portfolio (PerformanceAnalytics).

Despite the merging xts objects have the same indexes, the merged object shows extra lines at the day before of every entry.

I noticed that indexes of merging objects have different classes ("POSIXct" and "Date"): might be this the reason? Why do I get different extra dates anyway?

Kind regards,

Simone


> require(PerformanceAnalytics)
> require(quantmod)
>  
> benchmark<-c("^STOXX50E","^NDX")
> downloaded<-getSymbols(benchmark,from=as.Date(Sys.Date()-15))
> prices <- merge.xts(na.locf(do.call(merge,lapply(downloaded, function(x) Cl(get(x))))))
> returns <- Return.calculate(prices)[-1,] #get rid of first NA
>  
> returns
> #STOXX50E.Close     NDX.Close
> #2013-11-01   -0.005153278  0.0006009953
> #2013-11-04    0.000000000  0.0014764362
> #2013-11-05   -0.005314304  0.0012024522
> #2013-11-06    0.006745896 -0.0010151026
> #2013-11-07   -0.004390787 -0.0188959585
> #2013-11-08    0.000000000  0.0136779259
> #2013-11-11    0.003236959 -0.0011464756
> #2013-11-12   -0.005945303  0.0006690495
> #2013-11-13   -0.004451870  0.0119843220
> #2013-11-14    0.010764042  0.0028130469
>  
> Return.portfolio(returns)
> #             portfolio.returns
> #2013-11-01     -0.0022761415
> #2013-11-04      0.0007403469
> #2013-11-05     -0.0020441262
> #2013-11-06      0.0028386740
> #2013-11-07     -0.0116652539
> #2013-11-08      0.0068094113
> #2013-11-11      0.0010398246
> #2013-11-12     -0.0026371940
> #2013-11-13      0.0037957949
> #2013-11-14      0.0067416934
> #Warning message:
> #  In Return.portfolio(returns) :
> #  weighting vector is null, calulating an equal weighted portfolio
>  
> merge(returns,Return.portfolio(returns))
>  
> #STOXX50E.Close     NDX.Close portfolio.returns
> #2013-10-31             NA            NA     -0.0022761415 # Return.portfolio merges into extra lines!
> #2013-11-01   -0.005153278  0.0006009953                NA
> #2013-11-03             NA            NA      0.0007403469
> #2013-11-04    0.000000000  0.0014764362                NA
> #2013-11-04             NA            NA     -0.0020441262
> #2013-11-05   -0.005314304  0.0012024522                NA
> #2013-11-05             NA            NA      0.0028386740
> #2013-11-06    0.006745896 -0.0010151026                NA
> #2013-11-06             NA            NA     -0.0116652539
> #2013-11-07   -0.004390787 -0.0188959585                NA
> #2013-11-07             NA            NA      0.0068094113
> #2013-11-08    0.000000000  0.0136779259                NA
> #2013-11-10             NA            NA      0.0010398246
> #2013-11-11    0.003236959 -0.0011464756                NA
> #2013-11-11             NA            NA     -0.0026371940
> #2013-11-12   -0.005945303  0.0006690495                NA
> #2013-11-12             NA            NA      0.0037957949
> #2013-11-13   -0.004451870  0.0119843220                NA
> #2013-11-13             NA            NA      0.0067416934
> #2013-11-14    0.010764042  0.0028130469                NA