Thanks
Simone
> Il giorno 15/nov/2013, alle ore 15:30, Joshua Ulrich
> <josh.m.ulr...@gmail.com> ha scritto:
>
>> On Fri, Nov 15, 2013 at 6:32 AM, Simone Medori <simone.med...@me.com> wrote:
>> Hi,
>> I'm triyng to merge two xts time series objects, one of them is from
>> Return.portfolio (PerformanceAnalytics).
>>
>> Despite the merging xts objects have the same indexes, the merged object
>> shows extra lines at the day before of every entry.
>>
>> I noticed that indexes of merging objects have different classes ("POSIXct"
>> and "Date"): might be this the reason? Why do I get different extra dates
>> anyway?
> Yes, this is the reason. Specifically, the cause is the difference in
> timezone between the POSIXct index and the Date index.
>
> For some reason, Return.portfolio returns a xts object with a POSIXct
> index. Convert it to Date and your merge will work.
> rp <- Return.portfolio(returns)
> index(rp) <- as.Date(index(rp))
> merge(returns,rp)
>
>> Kind regards,
>>
>> Simone
>>
>>
>>> require(PerformanceAnalytics)
>>> require(quantmod)
>>>
>>> benchmark<-c("^STOXX50E","^NDX")
>>> downloaded<-getSymbols(benchmark,from=as.Date(Sys.Date()-15))
>>> prices <- merge.xts(na.locf(do.call(merge,lapply(downloaded, function(x)
>>> Cl(get(x))))))
>>> returns <- Return.calculate(prices)[-1,] #get rid of first NA
>>>
>>> returns
>>> #STOXX50E.Close NDX.Close
>>> #2013-11-01 -0.005153278 0.0006009953
>>> #2013-11-04 0.000000000 0.0014764362
>>> #2013-11-05 -0.005314304 0.0012024522
>>> #2013-11-06 0.006745896 -0.0010151026
>>> #2013-11-07 -0.004390787 -0.0188959585
>>> #2013-11-08 0.000000000 0.0136779259
>>> #2013-11-11 0.003236959 -0.0011464756
>>> #2013-11-12 -0.005945303 0.0006690495
>>> #2013-11-13 -0.004451870 0.0119843220
>>> #2013-11-14 0.010764042 0.0028130469
>>>
>>> Return.portfolio(returns)
>>> # portfolio.returns
>>> #2013-11-01 -0.0022761415
>>> #2013-11-04 0.0007403469
>>> #2013-11-05 -0.0020441262
>>> #2013-11-06 0.0028386740
>>> #2013-11-07 -0.0116652539
>>> #2013-11-08 0.0068094113
>>> #2013-11-11 0.0010398246
>>> #2013-11-12 -0.0026371940
>>> #2013-11-13 0.0037957949
>>> #2013-11-14 0.0067416934
>>> #Warning message:
>>> # In Return.portfolio(returns) :
>>> # weighting vector is null, calulating an equal weighted portfolio
>>>
>>> merge(returns,Return.portfolio(returns))
>>>
>>> #STOXX50E.Close NDX.Close portfolio.returns
>>> #2013-10-31 NA NA -0.0022761415 #
>>> Return.portfolio merges into extra lines!
>>> #2013-11-01 -0.005153278 0.0006009953 NA
>>> #2013-11-03 NA NA 0.0007403469
>>> #2013-11-04 0.000000000 0.0014764362 NA
>>> #2013-11-04 NA NA -0.0020441262
>>> #2013-11-05 -0.005314304 0.0012024522 NA
>>> #2013-11-05 NA NA 0.0028386740
>>> #2013-11-06 0.006745896 -0.0010151026 NA
>>> #2013-11-06 NA NA -0.0116652539
>>> #2013-11-07 -0.004390787 -0.0188959585 NA
>>> #2013-11-07 NA NA 0.0068094113
>>> #2013-11-08 0.000000000 0.0136779259 NA
>>> #2013-11-10 NA NA 0.0010398246
>>> #2013-11-11 0.003236959 -0.0011464756 NA
>>> #2013-11-11 NA NA -0.0026371940
>>> #2013-11-12 -0.005945303 0.0006690495 NA
>>> #2013-11-12 NA NA 0.0037957949
>>> #2013-11-13 -0.004451870 0.0119843220 NA
>>> #2013-11-13 NA NA 0.0067416934
>>> #2013-11-14 0.010764042 0.0028130469 NA
>
> Best,
> --
> Joshua Ulrich | about.me/joshuaulrich
> FOSS Trading | www.fosstrading.com
>
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