The Financial Crisis on Tape Part I - Data Retrieval

FinCrisisPartI_DataRetrieval.R

#install the superb quantmod library
#we will use it to download the data and compute returns
library(quantmod)

# load historical prices from Yahoo Finance
# I use a set that I saw used by systematic investor CREDIT
symbols = c('SPY','QQQ','EEM','IWM','EFA','TLT','IYR','GLD')
symbols.names = c('S&P 500,Nasdaq 100,Emerging Markets,Russell 2000,EAFE,20 Year
Treasury,U.S. Real Estate,Gold')


#Downlad the data from yahoo (default choice of getSymbols)
#It loads directly to the environment which depending on your R background may seem surprising
#doesn't return result.Use get function below to deal with programatically
getSymbols(symbols, src = 'yahoo', from = '2005-01-01')

#inspect the data
head(SPY)
class(SPY)
str(SPY)
range(index(SPY))

#obtain the daily closing price for each and form into a data frame
hist.returns = 
do.call(cbind,
lapply(symbols, function(symbol){
  symbol.data = get(symbol) #get from enviroment
	symbol.data.adj = Ad(symbol.data) #extract the adjusted price
	symbols.data.adjret = ROC(symbol.data.adj, n=1, type="continuous", na.pad=TRUE) #compute simple returns
	symbols.data.adjret
})
)