Exercise

# 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.

Instructions

**100 XP**

- Load the package
`PerformanceAnalytics`

in your R session. - Have a look at the first and last six rows of
`prices`

, using`head()`

and`tail()`

respectively. - Use the function
`Return.calculate()`

with the only argument`prices`

to compute for each date the return as the percentage change in the price compared to the previous date, call this`returns`

. - Print the first six rows of
`returns`

. - Remove the first row of
`returns`

.