Adjusting for dividends
Your comments on manually adjusting for dividends are correct, and I haven't copied them here.
On 01/17/2011 10:09 PM, Brian Leidich wrote:
just a guess but my hunch is that whatever patch you put in place will be temp, data will likely be fixed soon enough. i guess a nice idea would be the ability to append custom dividends ourselves...
It is unlikely that such a patch will be added. getSymbols and get.hist.quote are 'easy' utility functions, but are really only indicative of how to build data retrieval mechanisms for other data sources (brokers, exchanges, fund managers, etc). Professional investors pay for their data, or get it from their counter-parties, and have a support line to call when things like dividend payments don't show up. Also, using adjusted series rarely makes sense in any realistic context. If you're doing portfolio optimization, you need to do it on a 'walk-forward' basis, looking at prices as they existed at the time. Dividend distributions are just cash flows that are added later, and do not affect the prices. They can obviously be added to return information separately, but historical *fund* returns, as per the original post, typically include *returns* from dividends anyway. Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock