stock_returns: Stock Returns Data

In SharpeR: Statistical Significance of the Sharpe Ratio

Stock Returns Data

Description

Nineteen years of daily log returns on three stocks and an ETF.

Usage

data(stock_returns)

Format

An xts object with 4777 observations and 4 columns.

The columns are the daily log returns for the tickers IBM, AAPL, SPY and XOM, as sourced from Yahoo finance using the quantmod package. Daily returns span from January, 2000 through December, 2018. Returns are ‘log returns’, which are the differences of the logs of daily adjusted closing price series, as defined by Yahoo finance (thus presumably including adjustments for splits and dividends). Dates of observations are the date of the second close defining the return, not the first.

Note

The author makes no guarantees regarding correctness of this data.

Author(s)

Steven E. Pav [e-mail]

Source

Data were collected on October 2, 2019, from Yahoo finance using the quantmod package.

Examples

if (require(xts)) {
 data(stock_returns)
 as.sr(stock_returns)
}

SharpeR documentation built on April 3, 2025, 7:36 p.m.