[R-SIG-Finance] Stock Total Returns?

[R. Michael Weylandt]

I think you're over-thinking this: if you have adjusted prices, they
already incorporate splits+dividends --- so the return in adjusted
price *is* the total return. (Up to some fuzziness in how that
adjustment should be done)

Michael

On Sat, Feb 18, 2012 at 5:20 PM, SW <kryp33 at yahoo.com> wrote:
> Hello All,
>
>
> I am relatively new to R and I am still not very comfortable with syntactic and libraries. Is there are any nice way to calculate and plot total returns for stocks which I would define as change in price and paid dividends? I made a code to do that but the loop that constructs prices+dividends looks ugly(see code below). Any suggestions to do it more efficiently? Thanks. Sergey
>
> ##############  CODE  ##################################
> library(quantmod)
> library(PerformanceAnalytics)
>
> #Time frame
> dt.end = "2010-01-01"
> dt.start =  "2007-01-01"
>
> tickers = c('SPY',
>            'XLY',
>            'XLP',
>            'XLE',
>            'XLF',
>            'XLV',
>            'XLI',
>            'XLB',
>            'XLK',
>            'XLU')
> tickers.desc = c('SNP500',
>                 'ConsumerCyclicals',
>                 'ConsumerStaples',
>                 'Energy',
>                 'Financials',
>                 'HealthCare',
>                 'Industrials',
>                 'Materials',
>                 'Technology',
>                 'Utilities')
>
> ############              Get prices        ###############################
> setDefaults(getSymbols, warnings=FALSE,auto.assign=FALSE)
> fnPx <- function(i) { return(Ad(getSymbols(tickers[i], from=dt.start,to=dt.end))) }
> ts = lapply(1:length(tickers), fnPx)
> ###########################################################################
>
> ############              Get Dividends     ################################
> fnDiv<- function(i) { return(getDividends(tickers[i], from=dt.start,to=dt.end,auto.assign=FALSE)) }
> div = lapply(1:length(tickers), fnDiv)
> ###########################################################################
>
> ###########    Create Prices + Dividends (UGLY !!!!)  #####################
> fnTotPx <- function(i)
>  {
>    ret = ts[[i]]
>    for(j in 1:length(div[[i]]))
>    {
>      row  = div[[i]][j,]
>      tm   = time(row)
>      val  = as.double(row[1,1])
>      iFwd = paste(tm,"::",sep='')
>      iBk  = paste("::",tm-1,sep='')
>      unch = ret[iBk]
>      chg  = ret[iFwd]+val
>      ret = rbind(unch,chg)
>    }
>    return(ret)
>  }
> totPx = lapply(1:length(tickers), fnTotPx)
> ############################################################################
>
>
> ################          Calc Total Returns     ##########################
> fnRet <- function(i) { return(periodReturn(totPx[[i]],period='daily')) }
> ts.ret = lapply(1:length(tickers), fnRet)
>
> ################          Plot Total Returns     ##########################
> ts.ret.df = as.data.frame(ts.ret)
> colnames(ts.ret.df)=tickers.desc
> chart.CumReturns(ts.ret.df, main="Cumulative Returns",geometric=FALSE,legend.loc="bottomleft")
> ############################################################################
>
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