[R-SIG-Finance] Stock Total Returns?

[Joshua Ulrich]

There is also quantmod::adjustOHLC, which will provide better adjusted
OHL prices than using the Close / Adjusted Close ratio.
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com

R/Finance 2012: Applied Finance with R
www.RinFinance.com



On Sat, Feb 18, 2012 at 4:44 PM, SW <kryp33 at yahoo.com> wrote:
> 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")
>> >
>> ############################################################################
>> >
>> > _______________________________________________
>> > R-SIG-Finance at r-project.org
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>
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