[R-SIG-Finance] Stock Total Returns?

[SW]

Hi Michael,

Thanks a lot! You are right. The adjusted prices will give me the correct numbers for total returns. I kind of overlooked it. 

Best regards,
Sergey




--- On Sat, 2/18/12, R. Michael Weylandt <michael.weylandt at gmail.com> wrote:

> From: R. Michael Weylandt <michael.weylandt at gmail.com>
> Subject: Re: [R-SIG-Finance] Stock Total Returns?
> To: "SW" <kryp33 at yahoo.com>
> Cc: r-sig-finance at r-project.org
> Date: Saturday, February 18, 2012, 5:27 PM
> 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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