[R-SIG-Finance] Stock Total Returns?
SW
kryp33 at yahoo.com
Mon Feb 20 17:31:20 CET 2012
Joshua,
Thank you for taking the trouble to recalculate adjustment factors based on actual dividends and splits data in quantmod::adjustOHLC function. I guess that the real meat of this function hidden in TTR::adjRatios (Is it native(C/C++) call?)
My original question was based on my incomplete perception of the adjustment process. I always thought that the adjustment is done in order to keep historical prices continues to avoid ex-dividend date drop. To my surprise it also works to produce the correct total returns series. The bigger surprise was that it looks like that it gives the correct calculations not only for simple returns but also for logarithmic returns. I never thought about that before Michael's remark.
Best Regards,
Sergey
======================
.~.
/v\ Sergey W. Andreyev
// \\ kryp33 at yahoo.com
/( )\
^`~'^
======================
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--- On Mon, 2/20/12, r-sig-finance-request at r-project.org <r-sig-finance-request at r-project.org> wrote:
> From: r-sig-finance-request at r-project.org <r-sig-finance-request at r-project.org>
> Subject: R-SIG-Finance Digest, Vol 93, Issue 18
> To: r-sig-finance at r-project.org
> Date: Monday, February 20, 2012, 6:00 AM
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> 1. Re: Stock Total Returns? (Joshua
> Ulrich)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Sun, 19 Feb 2012 17:22:01 -0600
> From: Joshua Ulrich <josh.m.ulrich at gmail.com>
> To: SW <kryp33 at yahoo.com>
> Cc: r-sig-finance at r-project.org
> Subject: Re: [R-SIG-Finance] Stock Total Returns?
> Message-ID:
> <CAPPM_gROH+RcgFM-LwfHX7ZoB6g30tHysckmoyoA2U2wajGzYg at mail.gmail.com>
> Content-Type: text/plain; charset=ISO-8859-1
>
> 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")
> >> >
> >>
> ############################################################################
> >> >
> >> >
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