[R-SIG-Finance] does quantmod::adjustOHLC adust for dividends?

[Joshua Ulrich]

On Fri, Jun 2, 2017 at 9:47 AM, Ilya Kipnis <ilya.kipnis at gmail.com> wrote:
> That's a function of yahoo data no longer adjusting for dividends.
>
No, it isn't.

> On Fri, Jun 2, 2017 at 10:45 AM, Vivek Rao via R-SIG-Finance <
> r-sig-finance at r-project.org> wrote:
>
>> (I tried sending this message before joining the group, but it was held
>> for moderation.)
>>
>> It appears that the adjustOHLC function of the quantmod package does not
>> create an .Adjusted field
>> that reflects dividends.
>>
>> The code
>>
>> library("quantmod")
>> sym <- "IBM"
>> START.DATE = "2016-01-01"
>> div <- getDividends(sym,auto.assign=FALSE,from=START.DATE)
>> xx <- getSymbols(sym, from=START.DATE, src="yahoo", auto.assign=FALSE)
>> xx.a <- adjustOHLC(xx)
>> xx.uA <- adjustOHLC(xx, use.Adjusted=TRUE)

The issue is that you must set the symbol.name argument if the first
argument to adjustOHLC() is not named the same as the symbol being
adjusted.

This works:

xx.a2 <- adjustOHLC(xx, symbol.name = sym)
head(xx.a2)
           IBM.Open IBM.High  IBM.Low IBM.Close IBM.Volume IBM.Adjusted
2016-01-04 128.3440 128.6942 127.0568  128.6753    5229400       135.95
2016-01-05 129.4420 129.5650 127.6342  128.5807    3924800       135.85
2016-01-06 127.1893 128.3251 126.4700  127.9371    4310900       135.17
2016-01-07 126.5457 127.7951 125.3437  125.7507    7025800       132.86
2016-01-08 126.0535 126.6593 124.2931  124.5865    4762700       131.63
2016-01-11 124.7568 126.6593 124.7095  126.1009    4974400       133.23

>> cat("\ndiv\n")
>> print(head(div))
>> cat("\nxx\n")
>> print(head(xx))
>> cat("\nxx.a\n")
>> print(head(xx.a))
>> cat("\nxx.uA\n")
>> print(head(xx.uA))
>>
>> produces the output below. I'd expect that IBM.Adjusted field to have
>> different values
>> at the beginning of the period, depending on whether one adjusts for
>> dividends.
>>
>> div
>> IBM.div
>> 2016-02-08     1.3
>> 2016-05-06     1.4
>> 2016-08-08     1.4
>> 2016-11-08     1.4
>> 2017-02-08     1.4
>> 2017-05-08     1.5
>>
>> xx
>> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
>> 2016-01-04   135.60   135.97  134.24    135.95    5229400       135.95
>> 2016-01-05   136.76   136.89  134.85    135.85    3924800       135.85
>> 2016-01-06   134.38   135.58  133.62    135.17    4310900       135.17
>> 2016-01-07   133.70   135.02  132.43    132.86    7025800       132.86
>> 2016-01-08   133.18   133.82  131.32    131.63    4762700       131.63
>> 2016-01-11   131.81   133.82  131.76    133.23    4974400       133.23
>>
>> xx.a
>> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
>> 2016-01-04   135.60   135.97  134.24    135.95    5229400       135.95
>> 2016-01-05   136.76   136.89  134.85    135.85    3924800       135.85
>> 2016-01-06   134.38   135.58  133.62    135.17    4310900       135.17
>> 2016-01-07   133.70   135.02  132.43    132.86    7025800       132.86
>> 2016-01-08   133.18   133.82  131.32    131.63    4762700       131.63
>> 2016-01-11   131.81   133.82  131.76    133.23    4974400       133.23
>>
>> xx.uA
>> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
>> 2016-01-04   135.60   135.97  134.24    135.95    5229400       135.95
>> 2016-01-05   136.76   136.89  134.85    135.85    3924800       135.85
>> 2016-01-06   134.38   135.58  133.62    135.17    4310900       135.17
>> 2016-01-07   133.70   135.02  132.43    132.86    7025800       132.86
>> 2016-01-08   133.18   133.82  131.32    131.63    4762700       131.63
>> 2016-01-11   131.81   133.82  131.76    133.23    4974400       133.23
>>
>> Vivek Rao
>>
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