make_raw_return: Compute returns as value change plus dividends.

In e-mu-pi/adjustr: Adjust Stock Price Data for Splits and Dividends

Compute returns as value change plus dividends.

Description

Compute returns as value change plus dividends.

Usage

make_raw_return(...)

## Default S3 method:
make_raw_return(price_data, split_adjusted_shares,
  split_unadjusted_dividends, initial_rawclose = NULL, ...)

## S3 method for class 'xts'
make_raw_return(price_data_xts, period = "monthly", ...)

## S3 method for class 'data.table'
make_raw_return(price_data_dt, start = 1,
  end = nrow(price_data_dt), ...)

Arguments

...	Additional arguments.
price_data	The historical prices, usually closes, with no adjustments.
split_adjusted_shares	Numeric vector of number of shares accounting for share splits. Typically, starts with 1 and adjusts for each split to reflect what that 1 share has become.
split_unadjusted_dividends	Numeric vector of dividends as they would have been announced historically. The values returned from Yahoo are split adjusted. For example, a dividend of 0.2 that occured before a 2:1 split would be reported as 0.1 by Yahoo (assuming no subsequent splits). This function expects the 0.2. See unadjust.
initial_rawclose	Optional starting value to measure returns against. Default is NULL, i.e., just use the first ticks from the other data vectors. If used, the first dividend will be included.
price_data_xts	An xts object with columns Close, rawshares, rawdividend or with a symbol SYM, columns SYM.Close, SYM.Rawshares, SYM.Rawdividend.
period	A string indicating a granularity. See periodReturn.
price_data_dt	A data.table of price data as produced by make_raw_data. In particular, it must have columns close, rawshares, rawdividend.
start, end	Index vectors (numeric or logical) of starting/ending points. They should be the same length. If logical, they should have the same number of TRUE values.

Value

Return data assuming shares are split according to split data and dividends are paid, one for each share, but not reinvested.

A numeric vector the same length as the inputs with the arithmetic return from the first close including dividends.

An xts object ordered by the index column granulated to period. The returns are calculated as close to close values multiplied by rawshares to account for splits and adding in dividends over the period. Note that a dividend on date t in Yahoo data is only paid to those holding at the close on date t-1. Therefore, there a dividend on date t for which t is also the period start will be recorded in the period ending on date t, not the next period starting on t. In particular, daily returns include a dividend on date t in the return from t-1 to t, recorded as the return on date t.

Note that daily raw returns for one week do not simply convert to weekly returns as prod(1+r). Each day the basis for return is the close, but the return comes from the following close plus dividends. Those dividends are not included in the basis for the following day.

A data.table of raw returns with columns index and rawreturn. If the (start,end] ranges do not overlap, the returns are a running calculation from each start indexed from start+1 to end. If there the (start,end] ranges do not partition the index of the input, the missing indexes are omitted (especially useful when looking at trade returns in which you are not always in the market). If there is overlap in the (start,end] ranges, there is just one return calculated for each end indexed by the index at end.

Methods (by class)

• default: Compute raw return from split adjusted shares, dividends, and closing prices.

  Computes the return of buying the given number of shares at the first closing price and exiting at any intermediate closing price including splits and dividends. The number of shares should only change based on splits; no accounting is done to rebase the return for other purchases and sales of shares. The dividends must be as they would historically have been reported, not split adjusted as Yahoo provides. A dividend on the first tick is not included in the return as Yahoo reports them on the ex-date.

• xts: Compute period returns as value change plus dividends.

• data.table: Compute raw return between start and end.

e-mu-pi/adjustr documentation built on Sept. 26, 2024, 9:34 p.m.