[R-SIG-Finance] Generating Monthly Returns from a ton of daily data

Cedrick Johnson cedrick at cedrickjohnson.com
Fri Jun 5 03:19:39 CEST 2009


I have a large blob timeSeries object within R full of theoretical pl 
values. The Data is in daily format and i need to somehow get daily to 
monthly and calculate the return (First and Last Day)..

Here's a sample of my dataset (is.timeSeries = TRUE):

                                           PL1      PL2         PL3
2008-05-01 12:00:00    -533    15467    -623
2008-05-02 12:00:00    -346    -5577    2363
2008-05-30 12:00:00    57        27168   -7850
2008-06-02 12:00:00    1308   -7750    548
2008-06-03 12:00:00    291    20498    -435
2008-06-30 12:00:00    1132   24990    -1405.5
...... this goes on until 5/27/09

So basically what I'm looking to do is calculate each month's returns 
using CalculateReturns() or returns(). In order to do that, I realized 
that i needed to take the time series and convert the daily PL returns 
to monthly, which i did by issuing the following:

Manager3.mnth = to.monthly(Managers[,3], OHLC=FALSE)

I wanted to get PL3's daily returns and then aggregate it into a monthly 
return by running it through returns()and then continue on further by 
doing table.CalendarReturns, etc..

Here's where I am stumped: When I do the to.monthly(), and i set 
OHLC=false, I get the following:

 > Manager3.mnth
                                                    Managers[, 3].Open 
Managers[, 3].High Managers[, 3].Low Managers[, 3].Close
2008-05-30 13:00:00                  17961.0                  
27879.0                 16564.5                   27879.0
2008-06-30 13:00:00                  22683.5                  
50482.5                 22683.5                   49906.5

I get a OHLC data set back.

Am I approaching this problem the wrong way? For now, I can manually get 
around this by manipulating the data in Excel to achieve monthly info, 
but I envision these datasets becoming large enough that will become a 
huge PITA...


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