[Returnanalytics-commits] r3168 - pkg/PortfolioAnalytics/sandbox/symposium2013

[noreply at r-forge.r-project.org]

Author: peter_carl
Date: 2013-09-23 01:52:27 +0200 (Mon, 23 Sep 2013)
New Revision: 3168

Added:
   pkg/PortfolioAnalytics/sandbox/symposium2013/download.SP500TR.R
Log:
- taken from parser directory in FinancialInstrument to be used in this analysis


Added: pkg/PortfolioAnalytics/sandbox/symposium2013/download.SP500TR.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/symposium2013/download.SP500TR.R	                        (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/symposium2013/download.SP500TR.R	2013-09-22 23:52:27 UTC (rev 3168)
@@ -0,0 +1,64 @@
+# Script for downloading and parsing a monthly total return series from
+# http://www.standardandpoors.com/
+#
+# Peter Carl
+
+# Load needed packages:
+require(xts)
+require(gdata)
+
+### Constants
+filename = "EDHEC-index-history.csv"
+objectname = "SP500TR"
+datadir = "./data"
+cachedir = "./cache"
+
+# Download the first sheet in the xls workbook directly from the web site:
+x = read.xls("http://www.spindices.com/documents/additional-material/monthly.xlsx?force_download=true")
+
+# That gives us something like the following:
+# > head(x)
+#   STANDARD...POOR.S.INDEX.SERVICES       X    X.1      X.2      X.3      X.4
+# 1          S&P 500 MONTHLY RETURNS                                          
+# 2                                                                           
+# 3                         MONTH OF   PRICE  PRICE  1 MONTH 3 MONTH  6 MONTH 
+# 4                                    CLOSE CHANGE % CHANGE % CHANGE % CHANGE
+# 5                          10/2009 1036.19 -20.88   -1.98%    4.93%   18.72%
+# 6                          09/2009 1057.08  36.45    3.57%   14.98%   32.49%
+#        X.5      X.6      X.7      X.8      X.9    X.10     X.11 X.12 X.13
+# 1                                                                 NA   NA
+# 2                                              1 MONTH 12 MONTH   NA   NA
+# 3   1 YEAR   2 YEAR   3 YEAR  5 YEARS 10 YEARS  TOTAL     TOTAL   NA   NA
+# 4 % CHANGE % CHANGE % CHANGE % CHANGE % CHANGE  RETURN   RETURN   NA   NA
+# 5    6.96%  -33.12%  -24.80%   -8.32%  -23.97%  -1.86%    9.80%   NA   NA
+# 6   -9.37%  -30.76%  -20.87%   -5.16%  -17.59%   3.73%   -6.91%   NA   NA
+#   X.14 X.15
+# 1   NA   NA
+# 2   NA   NA
+# 3   NA   NA
+# 4   NA   NA
+# 5   NA   NA
+# 6   NA   NA
+
+# So we only really care about column 1 for dates and column 12 (X.10) for 
+# total returns.  The first four rows are headers, and can be discarded.
+rawdates = x[-1:-4,1]
+rawreturns = x[-1:-4,12]
+# Data goes back to 12/1988. 
+
+# First we convert the dates to something we can use.  Note that frac=1 sets
+# the day to the last day of the month.  That should be close enough for
+# monthly data.
+ISOdates = as.Date(as.yearmon(rawdates, "%m/%Y"), frac=1)
+
+# Now we convert the rawreturns strings into numbers
+tr = as.numeric(as.character((sub("%", "", rawreturns, fixed=TRUE))))/100
+
+# Now construct an xts object with the two columns
+SP500TR.R=na.omit(as.xts(tr, order.by=ISOdates))
+colnames(SP500TR.R)="SP500TR"
+
+# Clean up
+rm(list=c("tr", "ISOdates", "rawdates", "rawreturns"))
+### Save data into cache
+save(SP500TR.R, file=paste(cachedir, "/", objectname, ".RData", sep=""))
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