Stock Total Returns?

Hi Michael,

Thanks a lot! You are right. The adjusted prices will give me the correct numbers for total returns. I kind of overlooked it.

Best regards,
Sergey




--- On Sat, 2/18/12, R. Michael Weylandt <michael.weylandt at gmail.com> wrote:

From: R. Michael Weylandt <michael.weylandt at gmail.com>
Subject: Re: [R-SIG-Finance] Stock Total Returns?
To: "SW" <kryp33 at yahoo.com>
Cc: r-sig-finance at r-project.org
Date: Saturday, February 18, 2012, 5:27 PM
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")

############################################################################

mailing list

subscribe first.

-- Also note that this is not the r-help list where

general R questions should go.