r - 计算 R 中多家公司的年回报率

Question

我有一个多年期间多家公司股价的数据集。下面包含的样本只有两家公司的价值约 2 年的每日数据。

structure(list(NATIONAL.AUS.BANK = c(6.0588, 6.0588, 6.0402, 
6.0402, 6.003, 5.9658, 5.8543, 5.7242, 5.6313, 5.4826, 5.4269, 
5.2968, 5.4269, 5.4455, 5.3711, 5.6685, 5.5384, 5.5012, 5.4826, 
5.557, 5.6127, 5.5941, 5.5198, 5.5198, 5.557, 5.6685, 5.7614, 
5.8543, 5.8729, 5.8172, 5.8543, 5.7614, 5.6313, 5.4455, 5.4826, 
5.3525, 5.3525, 5.3154, 5.1667, 5.3154, 5.2596, 5.3897, 5.5756, 
5.5012, 5.5198, 5.557, 5.5198, 5.5012, 5.4826, 5.5198, 5.5941, 
5.6685, 5.6499, 5.6313, 5.5941, 5.5941, 5.5756, 5.4269, 5.3339, 
5.2782, 5.2782, 5.3339, 5.3339, 5.4455, 5.3897, 5.3339, 5.3154, 
5.3154, 5.2968, 5.241, 5.1667, 5.1481, 4.7578, 4.7206, 4.7206, 
4.7206, 4.7206, 4.7578, 4.8693, 4.8693, 4.8693, 4.9808, 4.8693, 
4.6463, 4.7392, 4.795, 4.795, 4.8879, 4.9808, 4.9065, 4.8136, 
4.7578, 4.9994, 5.018, 5.0552, 5.0923, 5.1481, 5.1481, 5.2968, 
5.2968, 5.3154, 5.4269, 5.4455, 5.2968, 5.4083, 5.5756, 5.5756, 
5.5012, 5.5012, 5.6685, 5.7614, 5.7056, 5.6685, 5.7614, 5.8915, 
5.8915, 5.7428, 5.78, 5.8729, 5.8729, 5.8915, 5.7614, 5.8172, 
5.5756, 5.557, 5.3711, 5.464, 5.4269, 5.4269, 5.5198, 5.5384, 
5.557, 5.5941, 5.5941, 5.6401, 5.6401, 5.5832, 5.5262, 5.5452, 
5.5072, 5.5642, 5.5452, 5.5642, 5.5642, 5.5642, 5.5452, 5.5642, 
5.5452, 5.5452, 5.4882, 5.5262, 5.5262, 5.5642, 5.5642, 5.5642, 
5.6021, 5.6591, 5.7731, 5.944, 5.887, 5.849, 5.868, 5.868, 5.963, 
5.944, 5.887, 5.963, 5.83, 5.83, 5.792, 5.811, 5.83, 5.83, 5.982, 
5.963, 5.982, 6.0389, 6.2478, 6.3618, 6.2668, 6.2668, 6.3048, 
6.2858, 6.2858, 6.3048, 6.2858, 6.2668, 6.3238, 6.3238, 6.3997, 
6.3428, 6.3428, 6.3238, 6.1908, 6.1908, 6.2478, 6.3428, 6.2478, 
6.3048, 6.1149, 6.1719, 6.1908, 6.1908, 6.1908, 6.1719, 6.1908, 
6.2858, 6.2858, 6.3618, 6.4567, 6.5517, 6.4947, 6.4187, 6.4377, 
6.3618, 6.4377, 6.4377, 6.4377, 6.4187, 6.3997, 6.3997, 6.4187, 
6.3997, 6.4377, 6.4947, 6.4947, 6.5137, 6.5327, 6.5896, 6.6466, 
6.6466, 6.6276, 6.6276, 6.7416, 6.7416, 6.7606, 6.8555, 6.8555, 
6.7985, 6.7226, 6.6276, 6.6656, 6.7226, 6.7985, 6.4187, 6.5896, 
6.6276, 6.7606, 6.6846, 6.6656, 6.7036, 6.6276, 6.6086, 6.5896, 
6.6466, 6.8935, 6.8365, 6.7985, 6.8365, 6.8175, 6.8555, 6.8935, 
6.9315, 6.8935, 6.7795, 6.7226, 6.7416, 6.8745, 6.8555, 6.8365, 
6.7795, 6.8365, 6.8175, 6.8175, 6.8745, 7.0454, 7.0264, 7.0264, 
7.1024, 7.0454, 7.0264, 7.0834, 7.0454, 6.9884, 7.0454, 7.1404, 
7.2353, 7.2923, 7.3872, 7.4062, 7.4252, 7.4062, 7.3872, 7.3113, 
7.3303, 7.4062, 7.4822, 7.5961, 7.6056, 7.6531, 7.7575, 7.7101, 
7.6721, 7.7196, 7.6816, 7.5771, 7.5297, 7.5581, 7.6341, 7.5012, 
7.5486, 7.4537, 7.5961, 7.5771, 7.4062, 7.4062, 7.4062, 7.3967, 
7.4062, 7.3777, 7.4062, 7.4062, 7.5012, 7.4822, 7.5486, 7.5297, 
7.5012, 7.5961, 7.7386, 7.805, 7.805, 7.748, 7.748, 7.7575, 7.6246, 
7.4442, 7.4442, 7.4442, 7.4442, 7.4632, 7.5771, 7.5771, 7.5581, 
7.5866, 7.6721, 7.6911, 7.7196, 7.767, 7.767, 7.6911, 7.6531, 
7.7196, 7.7196, 7.6816, 7.7196, 7.5961, 7.4727, 7.4157, 7.2163, 
7.2163, 7.2828, 7.2353, 7.1499, 7.2163, 7.1688, 7.0834, 7.1024, 
7.1214, 7.1214, 7.1594, 7.1973, 7.0929, 7.1024, 7.0454, 7.0739, 
7.0929, 7.0929, 7.0549, 7.0644, 7.0834, 7.1973, 7.2163, 7.1594, 
7.0929, 7.1973, 7.1309, 7.1024, 7.0929, 7.0644, 7.0739, 7.0929, 
7.0644, 6.9789, 6.9789, 6.9315, 6.884, 6.884, 6.9505, 6.9884, 
7.0264, 7.0454, 7.0169, 6.9979, 7.0454, 7.0264, 6.9884, 6.9315, 
6.8365, 6.8365, 6.8555, 6.8745, 6.8175, 6.8175, 6.9315, 6.8745, 
6.8365, 6.808, 6.789, 6.789, 6.789, 6.789, 6.827, 6.9315, 7.0739, 
6.9979, 7.0929, 7.1973, 7.2923, 7.3682, 7.3967, 7.3967, 7.4442, 
7.3872, 7.3587, 7.3113, 7.3777, 7.4062, 7.4537, 7.5202, 7.6436, 
7.5486, 7.5297, 7.5676, 7.5771, 7.5771, 7.5581, 7.5297, 7.5297, 
7.5961, 7.5771, 7.5866, 7.5676, 7.5392, 7.5297, 7.5297, 7.5676, 
7.5392, 7.2828, 7.2828, 7.2543, 7.2543, 7.1688, 7.1404, 7.2068, 
7.2163, 7.2353, 7.2638, 7.2733, 7.2163, 7.2638, 7.3208, 7.3872, 
7.4917, 7.5297, 7.5392, 7.5581, 7.5486, 7.5486, 7.5297, 7.5107, 
7.5392, 7.5581, 7.5676, 7.5012, 7.3967, 7.4727, 7.5012, 7.4252, 
7.4347, 7.3967, 7.4062, 7.4917, 7.5961, 7.5961, 7.5771, 7.5676, 
7.5392, 7.4632, 7.4062, 7.4537, 7.3872, 7.2543, 7.2163, 7.1309, 
7.1499, 7.1404, 7.1404, 7.0834, 7.0549, 6.9694, 6.8555, 6.96, 
7.0739, 7.1119, 7.0644, 7.1119, 7.0169, 7.0074, 6.9694, 6.8365, 
6.8365, 6.77, 6.789, 6.8365, 7.0264, 7.0644, 6.96, 6.9884, 6.9979, 
7.0169, 6.96, 6.865, 6.922, 6.8555, 6.865, 6.7985, 6.8745, 6.8745, 
6.884, 6.808, 6.808, 6.8555, 6.9125, 6.9315, 6.9315, 6.941, 6.941, 
6.903, 6.8365, 6.8175, 6.7795, 6.789, 6.789, 6.7606, 6.5991, 
6.5896, 6.5232, 6.5612, 6.5232, 6.4757, 6.4852, 6.6466, 6.6941, 
6.6846, 6.6846, 6.6276, 6.5517, 6.4092, 6.4282, 6.4852, 6.5327, 
6.5517, 6.6466, 6.6751, 6.8555, 6.9315, 6.9979, 6.903, 6.8935, 
6.8935, 6.8935, 6.7985, 6.903, 6.9979, 7.0454, 7.1309, 7.1783, 
7.2543, 7.1688, 7.3113, 7.3113, 7.1499, 7.1973, 6.9789, 7.1214, 
6.9789, 7.0264, 7.1214, 7.1214, 7.1214, 7.1309, 7.1404, 7.2163, 
7.2163, 7.3018, 7.3493, 7.3493, 7.2923, 7.1878, 7.1688, 7.0739, 
7.0074, 7.1688, 7.2163, 7.2163, 7.1783, 7.1688, 7.1404, 7.1119, 
7.1404, 7.1309, 7.1499, 7.1309, 7.1309, 7.1214, 7.1214, 7.1024, 
7.1878, 7.2638, 7.3493, 7.4822, 7.5012, 7.5961, 7.5771, 7.5771, 
7.5866, 7.5107, 7.5012, 7.3682, 7.5486, 7.5961, 7.5961, 7.6911, 
7.7386, 7.9759, 8.0329, 7.9759, 8.0234, 7.938, 7.9, 8.0234, 8.1468, 
8.2038, 8.1184, 8.0424, 8.1753, 8.3368, 8.3178, 8.3842, 8.2798, 
8.3273, 8.3747, 8.4032, 8.4887, 8.4697, 8.3747, 8.3178, 8.2988, 
8.3937, 8.3368, 8.2608, 8.3083, 8.4032, 8.4032, 8.4032, 8.5931, 
8.7545, 8.7166, 8.7071, 8.6121, 8.6406, 8.5931, 8.6406, 8.6121, 
8.5646, 8.5456, 8.5267, 8.5172, 8.5646, 8.5741, 8.5931, 8.6786, 
8.8875, 8.9254, 8.8305, 8.8305, 8.7166, 8.7071, 8.5931, 8.5646, 
8.6406, 8.7545, 8.9824, 9.2388, 9.2008, 9.3527, 9.4287, 9.5711, 
9.4667, 9.3622, 9.2103, 9.1913, 9.1818, 9.1154, 9.1628, 9.2008, 
8.9539, 9.1154, 9.2103, 9.2103, 9.4192, 9.2578, 9.3053, 9.3812, 
9.3337, 9.2293, 9.1343, 9.1248, 9.1438, 9.2103, 9.2863, 9.4477, 
9.5711, 9.5901, 9.5521, 9.5521, 9.5521, 9.5331, 9.4762, 9.5142, 
9.5521, 9.799, 9.761, 9.78, 9.6471, 9.6661, 9.837, 9.78, 9.837, 
9.761, 9.742, 9.723, 9.78, 9.837, 9.78, 9.837, 9.799, 9.875, 
9.856, 9.837, 10.0079, 10.1218, 10.3117, 10.3497, 10.4067, 10.6726, 
10.5776, 10.7295, 10.6916, 10.6346, 10.5206, 10.5396, 10.6346, 
10.6916, 10.8055, 10.9764, 11.1473, 11.0144, 10.7485, 10.7485, 
10.9384, 10.7675, 10.7295, 10.6536, 10.6726, 10.6536, 10.6156, 
10.5966, 10.7295, 10.7675, 10.8055, 10.9194, 11.0714, 11.2233, 
11.2233, 11.2613, 11.2992, 11.4702, 11.5271, 11.4891, 11.6221, 
11.9639, 11.869, 12.1158, 12.1538, 12.0019, 12.0019, 12.1348, 
12.1348, 12.1158, 11.869, 11.736, 11.831, 11.755, 11.6411, 11.679, 
11.774, 11.85, 12.0209, 12.1158, 12.0399, 11.869, 11.9829, 11.9639, 
11.869, 11.774, 11.5841, 11.5841, 11.717, 11.9829, 11.8879, 12.2108, 
12.2298, 12.1158, 11.736, 11.3942, 11.4891, 11.5841, 11.5841, 
11.3752, 11.3942, 11.3182, 11.4512, 11.4322, 11.4891, 11.679, 
11.6221, 11.6601, 11.698, 11.6601, 11.6221, 11.4512, 11.5081, 
11.4512, 11.1093, 11.1093, 11.0903, 11.0334, 11.0903, 11.0903, 
11.0903, 11.4322, 11.6411, 11.717, 11.717, 11.755, 11.774, 11.869, 
11.6601, 11.736, 11.793, 11.5841, 11.4891, 11.4891, 11.755, 11.698, 
11.85, 11.831, 11.6601, 11.6031, 11.736, 11.736, 11.793, 11.9069, 
12.2298, 12.2108, 12.2108, 12.3247, 12.1918, 12.0209, 11.9259, 
11.679, 11.5651, 11.5271, 11.5841, 11.6031, 11.679, 11.4891, 
11.4132, 11.3372), AUS.AND.NZ.BANKING.GP. = c(4.2255, 4.2632, 
4.2066, 4.1877, 4.1028, 4.0934, 4.0557, 4.0368, 3.9425, 3.9142, 
3.8293, 3.7727, 3.8388, 3.7916, 3.8293, 3.9236, 3.801, 3.7067, 
3.6784, 3.7727, 3.7916, 3.7633, 3.735, 3.7539, 3.735, 3.8293, 
3.8671, 3.9236, 3.9236, 3.9142, 3.9614, 3.8953, 3.8765, 3.7444, 
3.7444, 3.669, 3.6313, 3.5747, 3.5558, 3.6313, 3.6218, 3.6878, 
3.7727, 3.6313, 3.6596, 3.6407, 3.5558, 3.5086, 3.6218, 3.669, 
3.7539, 3.7161, 3.6313, 3.6218, 3.5464, 3.5558, 3.4803, 3.2728, 
3.2068, 3.2823, 3.254, 3.2823, 3.2823, 3.4143, 3.2634, 3.2728, 
3.3011, 3.3389, 3.32, 3.2351, 3.2446, 3.2351, 3.1785, 3.1408, 
3.1314, 3.1314, 3.1314, 3.2068, 3.0936, 3.0936, 3.0936, 3.1125, 
3.0465, 2.8956, 2.8296, 2.8296, 2.8578, 2.8673, 2.9427, 2.9239, 
2.8767, 2.8673, 3.0182, 3.1031, 3.1125, 3.1125, 3.1031, 3.1125, 
3.1785, 3.1785, 3.2068, 3.2351, 3.2446, 3.0748, 3.0842, 3.2163, 
3.1691, 3.0748, 3.0465, 3.1974, 3.2917, 3.2823, 3.2917, 3.3011, 
3.3766, 3.3577, 3.2351, 3.2728, 3.2917, 3.3672, 3.3672, 3.3106, 
3.3672, 3.188, 3.1125, 3.0559, 3.0559, 2.9805, 2.971, 3.0182, 
3.0465, 3.0465, 3.0653, 3.1597, 3.2446, 3.1785, 3.0936, 3.0748, 
3.1691, 3.1597, 3.1597, 3.1974, 3.1785, 3.1785, 3.1785, 3.1597, 
3.1691, 3.1314, 3.1219, 3.0842, 3.0559, 3.0276, 3.0842, 3.0842, 
3.1502, 3.2446, 3.3011, 3.4521, 3.5464, 3.4992, 3.4709, 3.5464, 
3.5464, 3.6784, 3.7539, 3.6784, 3.6501, 3.6124, 3.603, 3.5558, 
3.6407, 3.6218, 3.6407, 3.6784, 3.6501, 3.6313, 3.6407, 3.7633, 
3.6784, 3.603, 3.6313, 3.4992, 3.4143, 3.5275, 3.5369, 3.4709, 
3.4615, 3.4615, 3.3955, 3.3672, 3.3294, 3.2823, 3.254, 3.188, 
3.188, 3.2257, 3.2917, 3.3106, 3.3672, 3.3955, 3.4143, 3.4238, 
3.3955, 3.4803, 3.4709, 3.5275, 3.5558, 3.4709, 3.4238, 3.5369, 
3.6878, 3.6124, 3.6218, 3.5935, 3.5558, 3.603, 3.6313, 3.603, 
3.5747, 3.5652, 3.5747, 3.5558, 3.5275, 3.5558, 3.5841, 3.5747, 
3.5558, 3.5464, 3.5652, 3.6124, 3.6313, 3.6407, 3.6407, 3.7067, 
3.7067, 3.735, 3.8105, 3.8576, 3.8293, 3.801, 3.7539, 3.735, 
3.7539, 3.8671, 3.6218, 3.669, 3.6973, 3.7539, 3.7444, 3.7067, 
3.7067, 3.6313, 3.6218, 3.5652, 3.5652, 3.7161, 3.669, 3.6973, 
3.6784, 3.6313, 3.5841, 3.5747, 3.5464, 3.5464, 3.5558, 3.5275, 
3.5181, 3.5275, 3.5275, 3.603, 3.6313, 3.6596, 3.669, 3.6218, 
3.6313, 3.6973, 3.735, 3.7822, 3.8105, 3.801, 3.7161, 3.6596, 
3.6218, 3.6124, 3.6784, 3.7539, 3.7916, 3.8105, 3.7916, 3.8293, 
3.8671, 3.8388, 3.7822, 3.7067, 3.7067, 3.7727, 3.8482, 3.9519, 
3.9897, 3.9991, 4.0085, 3.9802, 3.9614, 4.0463, 4.1689, 4.1123, 
4.0085, 4.0085, 3.9802, 3.9331, 3.9236, 3.9425, 4.2632, 4.3198, 
4.2632, 4.2632, 4.2632, 4.2632, 4.2443, 4.2538, 4.2821, 4.2632, 
4.2443, 4.1594, 4.15, 4.1311, 4.1217, 4.3103, 4.3764, 4.3952, 
4.3952, 4.4141, 4.499, 4.5179, 4.4896, 4.4896, 4.4896, 4.4896, 
4.3858, 4.4141, 4.5367, 4.5367, 4.4801, 4.4707, 4.5273, 4.5367, 
4.5556, 4.565, 4.6027, 4.565, 4.4801, 4.5367, 4.4047, 4.3952, 
4.3669, 4.2349, 4.2066, 4.2349, 4.1217, 4.1217, 4.1972, 4.0368, 
3.9614, 3.9614, 3.9331, 3.8765, 3.8859, 3.8765, 3.8388, 3.8199, 
3.8671, 3.8671, 3.8829, 3.8256, 3.8447, 3.8542, 3.8638, 3.8734, 
3.8734, 3.8734, 3.9021, 3.9594, 3.9212, 3.9116, 3.9594, 3.9308, 
3.9021, 3.9021, 3.9021, 3.9021, 3.9021, 3.8829, 3.8064, 3.8064, 
3.8256, 3.7203, 3.7108, 3.7012, 3.7682, 3.7777, 3.7777, 3.7682, 
3.6917, 3.6821, 3.6821, 3.7299, 3.749, 3.7299, 3.7299, 3.8351, 
3.8542, 3.7873, 3.8064, 3.9403, 3.8925, 3.8542, 3.8925, 3.9403, 
3.9403, 3.9403, 3.9594, 3.9881, 3.9977, 3.9977, 4.0073, 4.0551, 
4.1699, 4.2464, 4.2846, 4.3229, 4.2655, 4.3229, 4.3229, 4.3037, 
4.2081, 4.2272, 4.2272, 4.2177, 4.2081, 4.2368, 4.1699, 4.2081, 
4.1985, 4.1794, 4.1125, 4.0647, 4.1125, 4.1029, 4.0647, 3.9881, 
4.0073, 3.9977, 3.9786, 3.9403, 3.9403, 3.9403, 3.9021, 3.9021, 
3.8256, 3.8256, 3.8064, 3.7299, 3.7108, 3.7203, 3.7395, 3.7299, 
3.7299, 3.7299, 3.6821, 3.6343, 3.6725, 3.7777, 3.8256, 3.8542, 
3.8734, 3.8638, 3.7777, 3.7203, 3.663, 3.6056, 3.5578, 3.5865, 
3.5195, 3.443, 3.443, 3.4334, 3.3569, 3.4047, 3.4143, 3.4239, 
3.4621, 3.4908, 3.5482, 3.5673, 3.5099, 3.3665, 3.3282, 3.2613, 
3.2804, 3.3187, 3.3474, 3.2804, 3.3187, 3.2326, 3.1943, 3.137, 
3.07, 2.9839, 3.07, 3.0604, 2.9839, 3.0796, 3.1465, 3.1178, 3.0796, 
3.07, 3.0222, 3.0126, 3.0222, 2.9457, 2.8596, 2.8213, 2.8309, 
2.8405, 2.9265, 2.9074, 2.8405, 2.8022, 2.85, 2.917, 2.917, 2.8692, 
2.8692, 2.8022, 2.7831, 2.7448, 2.7544, 2.7448, 2.7544, 2.6492, 
2.6396, 2.7066, 2.7066, 2.6779, 2.6588, 2.6683, 2.6779, 2.6396, 
2.5153, 2.5344, 2.5822, 2.6588, 2.7066, 2.8213, 2.8118, 2.764, 
2.6875, 2.697, 2.6588, 2.6301, 2.6683, 2.6779, 2.7161, 2.6396, 
2.6109, 2.5344, 2.5631, 2.4866, 2.4866, 2.4197, 2.4197, 2.5057, 
2.5822, 2.6683, 2.764, 2.764, 2.8118, 2.7927, 2.7735, 2.6875, 
2.6779, 2.6588, 2.5153, 2.4866, 2.477, 2.6492, 2.6492, 2.6779, 
2.6588, 2.6779, 2.6109, 2.5631, 2.5727, 2.6588, 2.7353, 2.7544, 
2.7544, 2.8022, 2.8022, 2.8022, 2.8309, 2.8787, 2.8692, 2.8692, 
2.9265, 2.9265, 2.9361, 2.9552, 2.9074, 2.9074, 2.917, 2.8787, 
2.8979, 2.9457, 2.9457, 2.9361, 2.9074, 2.8883, 2.9074, 2.8883, 
2.8883, 2.8787, 2.85, 2.85, 2.8692, 2.85, 2.85, 2.8692, 2.917, 
2.8596, 2.9457, 2.9648, 2.9935, 3.0604, 3.0987, 3.1656, 3.2422, 
3.2517, 3.223, 3.2422, 3.2804, 3.2517, 3.2422, 3.223, 3.29, 3.3474, 
3.3282, 3.3187, 3.29, 3.3187, 3.3378, 3.2995, 3.3569, 3.4239, 
3.1274, 3.1943, 3.29, 3.2995, 3.3091, 3.29, 3.3091, 3.3282, 3.3474, 
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"1994-02-16", "1994-02-17", "1994-02-18", "1994-02-21"), class = "data.frame")

我想创建一个数据框，其中包含样本中每个公司的年度回报。

使用quantmod包中的年度回报函数，我只能使用以下函数一次计算一家公司的年回报：

yearly_return <- annualReturn(x[,1:2], type = "arithmetic", leading = FALSE)

我认为使用循环函数会产生一个包含所有年度回报函数结果的数据框，但它只返回循环中最后一家公司的年度回报。

for(i in 1:5) {
  yearly_return <- annualReturn(x[,i], type = "arithmetic", leading = FALSE)
}

如何获得结果，使得输出是一个数据框，其中包含样本中所有公司的年度回报，而不仅仅是一个？

标签： rquantmodquantitative-finance

Answer 1

这是因为每次迭代都会更新“yearly_return”。相反，我们可以创建一个list然后list根据序列号更新

yearly_return <- vector('list', 5)
for(i in 1:5) {
    yearly_return[[i]] <- annualReturn(xtsprice[,i],
                type = "arithmetic", leading = FALSE)
   }

然后merge是数据集

out <- do.call(merge, yearly_return)
colnames(out) <- colnames(xtsprice)