Message-ID: <49F5F887.8080203@braverock.com>
Date: 2009-04-27T18:25:11Z
From: Brian G. Peterson
Subject: great conference and a question
In-Reply-To: <70A5AC06FDB5E54482D19E1C04CDFCF307C36C92@BALI.uhd.campus>
Hodgess, Erin wrote:
> Hi all!
>
> Wasn't the R in finance conference great this weekend? Thanks to the program committee!
>
> Anyhow, I have a question, too, please: the S&P returns that we typically see in examples - where can I find them online please?
>
> Thanks,
> Erin
>
You can use quantmod to download a price series for the index, and then
use Return.calculate or other methods to generate a return series.
Perhaps this goes without saying, but to do returns analysis, it is
generally best to have the price series first, as what you most likely
want is to calculate simple per-period returns before doing your
analysis; log returns are only useful for things like a cumulative
return chart or wealth index.
Regards,
- Brian
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock