[R-SIG-Finance] Adjusting for dividends

Brian G. Peterson brian at braverock.com
Tue Jan 18 13:44:43 CET 2011

Your comments on manually adjusting for dividends are correct, and I 
haven't copied them here.

On 01/17/2011 10:09 PM, Brian Leidich wrote:
> just a guess but my hunch is that whatever patch you put in place will be temp,
> data will likely be fixed soon enough. i guess a nice idea would be the ability
> to append custom dividends ourselves...

It is unlikely that such a patch will be added.  getSymbols and 
get.hist.quote are 'easy' utility functions, but are really only 
indicative of how to build data retrieval mechanisms for other data 
sources (brokers, exchanges, fund managers, etc). Professional investors 
pay for their data, or get it from their counter-parties, and have a 
support line to call when things like dividend payments don't show up.

Also, using adjusted series rarely makes sense in any realistic context. 
  If you're doing portfolio optimization, you need to do it on a 
'walk-forward' basis, looking at prices as they existed at the time. 
Dividend distributions are just cash flows that are added later, and do 
not affect the prices.  They can obviously be added to return 
information separately, but historical *fund* returns, as per the 
original post, typically include *returns* from dividends anyway.


   - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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