[R-SIG-Finance] Difficulty getting desired returns with returns(fSeries) function

[Jeff Ryan]

Try:

library(quantmod)

my.ts <- timeSeries(c(rep(NA,10),6500,8100,8010,7930),
as.Date('1970-01-01')+0:13)

Delt(my.ts)
           Delt.1.arithmetic
1970-01-01                NA
1970-01-02                NA
1970-01-03                NA
1970-01-04                NA
1970-01-05                NA
1970-01-06                NA
1970-01-07                NA
1970-01-08                NA
1970-01-09                NA
1970-01-10                NA
1970-01-11                NA
1970-01-12       0.246153846
1970-01-13      -0.011111111
1970-01-14      -0.009987516

What you are getting, as Adam points out, is log returns.

> Delt(my.ts, type='log')
            Delt.1.log
1970-01-01          NA
1970-01-02          NA
1970-01-03          NA
1970-01-04          NA
1970-01-05          NA
1970-01-06          NA
1970-01-07          NA
1970-01-08          NA
1970-01-09          NA
1970-01-10          NA
1970-01-11          NA
1970-01-12  0.22006188
1970-01-13 -0.01117330
1970-01-14 -0.01003773

The xts library also has a family of functions to calculate period
returns (and much more).

?periodReturn

HTH
Jeff
On Fri, Sep 5, 2008 at 3:14 AM, Weiyang Lim <Weiyang.Lim at henderson.com> wrote:
> Dear users,
>
> I tried to use the getReturns/returns function available with the fSeries package but it did not appear to give me the results generated by the same function in S-Plus finmetrics. I am not sure what is happening or what goes behind the calculations.
>
> I have the code
>
> my.ts <- timeSeries(data = DataSeries) which generates the time series
>
>                        37
> 1970-01-01        NA
> 1970-01-02        NA
> 1970-01-03        NA
> 1970-01-04        NA
> 1970-01-05        NA
> 1970-01-06        NA
> 1970-01-07        NA
> 1970-01-08        NA
> 1970-01-09        NA
> 1970-01-10        NA
> 1970-01-11        6500
> 1970-01-12        8100
> 1970-01-13        8010
> 1970-01-14        7930
> .                       .
> .                       .
> .                       .
> .                       .
> .                       .
>
> Then I used
>
> dummystock.rs <- getReturns(my.ts, type = "discrete", na.rm = F, trim = F, percentage = T) which generates the returns
>
>                        37
> 1970-01-01        NA
> 1970-01-02        NA
> 1970-01-03        NA
> 1970-01-04        NA
> 1970-01-05        NA
> 1970-01-06        NA
> 1970-01-07        NA
> 1970-01-08        NA
> 1970-01-09        NA
> 1970-01-10        NA
> 1970-01-11        NA
> 1970-01-12        22.0061885
> 1970-01-13        -1.1173301
> 1970-01-14        -1.0037725
> .                       .
> .                       .
> .                       .
> .                       .
>
> However, what I really want is 24.61, -1.111, and -0.99 respectively rather than the returns above. The calculation I wanted for returns was (8100-6500)/6500 * 100 (for the first return) = 24.61 rather than 22.0061885.
>
> I am using R version 2.7.0.
>
> I wonder if anyone can give me any kind advice as to how to achieve the returns I hope to have.
>
> Many thanks.
>
> Best Regards,
> Wy
>
>
>
>
>
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-- 
Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com