[R-sig-finance] Getting stock prices and annualized returns forcommon indexes

[Medica, Paul A]

I would urge anyone who is downloading price history from yahoo to paste
into any analysis package (R, S-plus, Matlab or otherwise) to run the
dates through a sequential calendar recognition script as there have
been incidents where dates or the associated values are missing.  This
is a real issue when attempting to correlate multivariate series,
especially VaR calculations.

Paul A. Medica
Reliability Engineering
Hewlett-Packard Co.
o: 360-212-2766
paul.medica at hp.com


-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Patrick
Burns
Sent: Tuesday, October 19, 2004 12:06 PM
To: Waichler, Scott R
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-sig-finance] Getting stock prices and annualized returns
forcommon indexes


You can get data from Yahoo via the "get.hist.quote" function in the
tseries package.  Indices have strange symbols in Yahooland.

S&P 500:     ^GSPC
Nasdaq Comp:   ^IXIC
Nasdaq 100:      ^NDX

US 30yr Treasury:   ^TYX
US 10yr Treasury:   ^TNX
US   5yr Treasury:   ^FVX


Patrick Burns

Burns Statistics
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Waichler, Scott R wrote:

>Is there a way to obtain stock and mutual fund prices (previous day's 
>close would be fine) from R?  Can bond prices also be obtained?  How 
>about annualized returns for previous calendar
>year and last 3 and 5 years for major indexes such as S&P 500, 
>Wilshire 5000, MSCI EAFE, etc.?  I am a non-professional
>who manages some family portfolios and I am looking for better ways to
>access information
>and compare investment results in annual reports I write using Sweave.
>
>Thanks,
>Scott Waichler
>scott.waichler at pnl.gov
>
>_______________________________________________
>R-sig-finance at stat.math.ethz.ch mailing list 
>https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>
>  
>

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