Stock Total Returns?
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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