如何计算与 R 中日历年不同的财政年度的对数回报？

Question

我想计算 R 中股票的对数回报。问题是我的财政年度是从 4 月 1 日到 3 月 31 日。我尝试使用包 tidyquant 和 tidyverse。我试过的代码如下：

library(tidyquant)
RIL<- tq_get("RELIANCE.NS") # download the stock price data of Reliance Industries Limited listed on NSE of India. The data is from January 2011 to May 2021.
library(tidyverse)
RIL1<- RIL %>% mutate(CalYear = year(date),
                      Month = month(date),
                      FinYear = if_else(Month<4,CalYear,CalYear+1)) # This creates a new variable called FinYear, which correctly shows the financial year. If the month is >3 (ie March), the financial year is calendar year +1.
RIL_Returns<- RIL1 %>% 
     group_by(FinYear) %>% 
     tq_transmute(select = adjusted,
                  mutate_fun = periodReturn,
                  period = "yearly",
                  type = "log") #This part of the code has the problem.

从这段代码中，我每年得到两个日志回报值。这不可能是真的。我想要一个包含 FinYear 和 Log_Returns 列的表，其中 Log_Returns 定义为 ln（给定 FinYear 最后一个交易日的调整收盘价/给定 FinYear 第一个交易日的调整收盘价）。我该怎么做？

Answer 1

也许这不是最优雅的，但我认为它有效，我手动获取了每年的第一天和最后一天，并相应地计算了日志返回

# Get data
library("tibble")
library("tidyquant")
RIL<- tq_get("RELIANCE.NS")
RIL1<- RIL %>% mutate(CalYear = year(date),
                    Month = month(date),
                    FinYear = if_else(Month<4,CalYear,CalYear+1))

# Get minimum and max dates in each year
start_dates = c()
end_dates  = c()
for(year in format(min(RIL1$date),"%Y"):format(max(RIL1$date),"%Y")){
        start_dates = 
            c(start_dates,
            min(RIL1$date[format(RIL1$date, "%Y") ==  format(as.Date(ISOdate(year, 1, 1)),"%Y")])
            )
        end_dates = 
            c(end_dates,
            max(RIL1$date[format(RIL1$date, "%Y") ==  format(as.Date(ISOdate(year, 1, 1)),"%Y")])
            )
}

# Get filtered data
RIL2 <- RIL1[(RIL1$date %in% start_dates | RIL1$date %in% end_dates),]

# Get log returns, even indexes represent end of each year rows
end_adjusted = RIL2$adjusted[1:length(RIL2$adjusted) %% 2 == 0]
beginning_adjusted = RIL2$adjusted[1:length(RIL2$adjusted) %% 2 != 0]
log_returns = log(end_adjusted/beginning_adjusted)

# Put log returns and years in a tibble.
result = tibble(log_returns ,format(RIL2$date[1:length(RIL2$date) %% 2 == 0], "%Y"))

# Result
result

输出

# A tibble: 11 x 2
   log_returns `format(RIL2$date[1:length(RIL2$date)%%2 == 0],…
         <dbl> <chr>                                           
 1     -0.412  2011                                            
 2      0.185  2012                                            
 3      0.0739 2013                                            
 4      0.0117 2014                                            
 5      0.145  2015                                            
 6      0.0743 2016                                            
 7      0.537  2017                                            
 8      0.215  2018                                            
 9      0.306  2019                                            
10      0.287  2020                                            
11      0.0973 2021