[R-SIG-Finance] mutual fund historical data....

[Joshua Ulrich]

On Fri, Mar 1, 2013 at 12:11 AM, ShyhWeir Tzang <swtzang at gmail.com> wrote:
> Dear all:
>
> I need mutual fund historical data to do analysis. Besides on one-month
> return, I also need information like alpha, beta, IR, Sharpe, Sortino and
> Stdev. Is there a way to download from website? Thanks for your help.
>
Is there a function that does all this work for you? No.

Pull the data from Yahoo Finance using quantmod::getSymbols
Adjust the data using quantmod::adjustOHLC
Aggregate to monthly using xts::to.monthly
Calculate the various metrics you want using PerformanceAnalytics

> --
> Shyh-Weir Tzang
> Finance Department
> Asia University
> Tel: 04-2332-3456#48055
> Mobile: 0929125845/0973830823
>
> 臧仕維
> 亞洲大學財務金融系
> 電話：04-2332-3456#48055
> 手機：0929125845/0973830823
> 41354台中霧峰柳豐路500號
>


Best,
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com

R/Finance 2013: Applied Finance with R  | www.RinFinance.com