[R-SIG-Finance] problem subsetting xts object with yearmon time index

[Eric Zivot]

I seem to have a problem sub-setting an xts object with a yearmon time index. I have a xts object holding monthly returns where the time index is a yearmon object. When I subset the data for 2014 using “2014” within the xts object I don’t get the data for January. However, if I subset the data using window() I get all of the data for 2014. Below is the example (from Rstudio on windows 8) and output. Why is January missing when I subset using mydata.xts["2014"]????

 

> options(digits=3, width=70)

> # IntroCompFinR available from R-forge

> # install.packages("IntroCompFinR", repos="http://R-Forge.R-project.org")

> library(IntroCompFinR)

> library(PerformanceAnalytics)

>

> #

> # load data and compute returns - MSFT

> #

>

> data(msftMonthlyPrices)

> msftRetC = na.omit(Return.calculate(msftMonthlyPrices,

+                                     method="log"))

> head(msftRetC, n=3)

            MSFT

Feb 1993 -0.0371

Mar 1993  0.1075

Apr 1993 -0.0809

> tail(msftRetC, n=3)

            MSFT

Oct 2014  0.0128

Nov 2014  0.0243

Dec 2014 -0.0289

> class(index(msftRetC))

[1] "yearmon"

> # restric returns to last year

> msftRetC2014 = msftRetC["2014"]

> msftRetC2014

            MSFT

Feb 2014  0.0198

Mar 2014  0.0676

Apr 2014 -0.0144

May 2014  0.0204

Jun 2014  0.0183

Jul 2014  0.0344

Aug 2014  0.0576

Sep 2014  0.0201

Oct 2014  0.0128

Nov 2014  0.0243

Dec 2014 -0.0289

> # why is January missing?????

> as.Date(index(msftRetC2014))

[1] "2014-02-01" "2014-03-01" "2014-04-01" "2014-05-01" "2014-06-01"

[6] "2014-07-01" "2014-08-01" "2014-09-01" "2014-10-01" "2014-11-01"

[11] "2014-12-01"

> # I get the right data using window()

> window(msftRetC, start=as.yearmon("Jan 2014"), end=as.yearmon("Dec 2014"))

            MSFT

Jan 2014  0.0113

Feb 2014  0.0198

Mar 2014  0.0676

Apr 2014 -0.0144

May 2014  0.0204

Jun 2014  0.0183

Jul 2014  0.0344

Aug 2014  0.0576

Sep 2014  0.0201

Oct 2014  0.0128

Nov 2014  0.0243

Dec 2014 -0.0289

> sessionInfo()

R version 3.1.2 (2014-10-31)

Platform: x86_64-w64-mingw32/x64 (64-bit)

 

locale:

[1] LC_COLLATE=English_United States.1252

[2] LC_CTYPE=English_United States.1252  

[3] LC_MONETARY=English_United States.1252

[4] LC_NUMERIC=C                         

[5] LC_TIME=English_United States.1252   

 

attached base packages:

[1] stats     graphics  grDevices utils     datasets  methods 

[7] base    

 

other attached packages:

[1] boot_1.3-13                   PerformanceAnalytics_1.4.3541

[3] IntroCompFinR_1.0             xts_0.9-7                   

[5] zoo_1.7-11                  

 

loaded via a namespace (and not attached):

[1] digest_0.6.8    grid_3.1.2      htmltools_0.2.6 lattice_0.20-29

[5] rmarkdown_0.5.1 tools_3.1.2     yaml_2.1.13

 

Thanks in advance for any insight.