The time series of asset returns
Calculating the returns for one period is pretty straightforward to do in R. When the returns need to be calculated for different dates the functions Return.calculate() and Return.portfolio(), in the R package PerformanceAnalytics are extremely helpful. They require the input data to be of the xts-time series class, which is pre-loaded. You will explore the functionality of the PerformanceAnalytics
package in this exercise.
The object prices
which contains the Apple (aapl
) and Microsoft (msft
) stocks is available in the workspace.
This exercise is part of the course
Introduction to Portfolio Analysis in R
Exercise instructions
- Load the package
PerformanceAnalytics
in your R session. - Have a look at the first and last six rows of
prices
, usinghead()
andtail()
respectively. - Use the function
Return.calculate()
with the only argumentprices
to compute for each date the return as the percentage change in the price compared to the previous date, call thisreturns
. - Print the first six rows of
returns
. - Remove the first row of
returns
.
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Load package PerformanceAnalytics
# Print the first six rows and last six rows of prices
# Create the variable returns using Return.calculate()
# Print the first six rows of returns. Note that the first observation is NA because there is no prior price.
# Remove the first row of returns
returns <- returns[-1, ]