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

[Joshua Ulrich]

Also note that this issue is discussed here:
https://github.com/joshuaulrich/quantmod/issues/152

Comments welcome!

On Fri, Jun 2, 2017 at 9:51 AM, Joshua Ulrich <josh.m.ulrich at gmail.com>
wrote:

> 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
> >>
> >> _______________________________________________
> >> R-SIG-Finance at r-project.org mailing list
> >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> >> -- Subscriber-posting only. If you want to post, subscribe first.
> >> -- Also note that this is not the r-help list where general R questions
> >> should go.
> >>
> >
> >         [[alternative HTML version deleted]]
> >
> > _______________________________________________
> > R-SIG-Finance at r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R questions
> should go.
>
>
>
> --
> Joshua Ulrich  |  about.me/joshuaulrich
> FOSS Trading  |  www.fosstrading.com
> R/Finance 2017 | www.rinfinance.com
>



-- 
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com
R/Finance 2017 | www.rinfinance.com

	[[alternative HTML version deleted]]