计算R中多家公司的年收益

问题描述

我有一个数据集，其中包含多个年份内多家公司的股价。以下样本仅包含两家公司的〜2年的每日数据。

structure(list(NATIONAL.AUS.BANK = c(6.0588,6.0588,6.0402,6.003,5.9658,5.8543,5.7242,5.6313,5.4826,5.4269,5.2968,5.4455,5.3711,5.6685,5.5384,5.5012,5.557,5.6127,5.5941,5.5198,5.7614,5.8729,5.8172,5.3525,5.3154,5.1667,5.2596,5.3897,5.5756,5.6499,5.3339,5.2782,5.241,5.1481,4.7578,4.7206,4.8693,4.9808,4.6463,4.7392,4.795,4.8879,4.9065,4.8136,4.9994,5.018,5.0552,5.0923,5.4083,5.7056,5.8915,5.7428,5.78,5.464,5.6401,5.5832,5.5262,5.5452,5.5072,5.5642,5.4882,5.6021,5.6591,5.7731,5.944,5.887,5.849,5.868,5.963,5.83,5.792,5.811,5.982,6.0389,6.2478,6.3618,6.2668,6.3048,6.2858,6.3238,6.3997,6.3428,6.1908,6.1149,6.1719,6.4567,6.5517,6.4947,6.4187,6.4377,6.5137,6.5327,6.5896,6.6466,6.6276,6.7416,6.7606,6.8555,6.7985,6.7226,6.6656,6.6846,6.7036,6.6086,6.8935,6.8365,6.8175,6.9315,6.7795,6.8745,7.0454,7.0264,7.1024,7.0834,6.9884,7.1404,7.2353,7.2923,7.3872,7.4062,7.4252,7.3113,7.3303,7.4822,7.5961,7.6056,7.6531,7.7575,7.7101,7.6721,7.7196,7.6816,7.5771,7.5297,7.5581,7.6341,7.5012,7.5486,7.4537,7.3967,7.3777,7.7386,7.805,7.748,7.6246,7.4442,7.4632,7.5866,7.6911,7.767,7.4727,7.4157,7.2163,7.2828,7.1499,7.1688,7.1214,7.1594,7.1973,7.0929,7.0739,7.0549,7.0644,7.1309,6.9789,6.884,6.9505,7.0169,6.9979,6.808,6.789,6.827,7.3682,7.3587,7.5202,7.6436,7.5676,7.5392,7.2543,7.2068,7.2638,7.2733,7.3208,7.4917,7.5107,7.4347,6.9694,6.96,7.1119,7.0074,6.77,6.865,6.922,6.9125,6.941,6.903,6.5991,6.5232,6.5612,6.4757,6.4852,6.6941,6.4092,6.4282,6.6751,7.1783,7.3018,7.3493,7.1878,7.9759,8.0329,8.0234,7.938,7.9,8.1468,8.2038,8.1184,8.0424,8.1753,8.3368,8.3178,8.3842,8.2798,8.3273,8.3747,8.4032,8.4887,8.4697,8.2988,8.3937,8.2608,8.3083,8.5931,8.7545,8.7166,8.7071,8.6121,8.6406,8.5646,8.5456,8.5267,8.5172,8.5741,8.6786,8.8875,8.9254,8.8305,8.9824,9.2388,9.2008,9.3527,9.4287,9.5711,9.4667,9.3622,9.2103,9.1913,9.1818,9.1154,9.1628,8.9539,9.4192,9.2578,9.3053,9.3812,9.3337,9.2293,9.1343,9.1248,9.1438,9.2863,9.4477,9.5901,9.5521,9.5331,9.4762,9.5142,9.799,9.761,9.78,9.6471,9.6661,9.837,9.742,9.723,9.875,9.856,10.0079,10.1218,10.3117,10.3497,10.4067,10.6726,10.5776,10.7295,10.6916,10.6346,10.5206,10.5396,10.8055,10.9764,11.1473,11.0144,10.7485,10.9384,10.7675,10.6536,10.6156,10.5966,10.9194,11.0714,11.2233,11.2613,11.2992,11.4702,11.5271,11.4891,11.6221,11.9639,11.869,12.1158,12.1538,12.0019,12.1348,11.736,11.831,11.755,11.6411,11.679,11.774,11.85,12.0209,12.0399,11.9829,11.5841,11.717,11.8879,12.2108,12.2298,11.3942,11.3752,11.3182,11.4512,11.4322,11.6601,11.698,11.5081,11.1093,11.0903,11.0334,11.793,11.6031,11.9069,12.3247,12.1918,11.9259,11.5651,11.4132,11.3372),AUS.AND.NZ.BANKING.GP. = 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= "data.frame")

我想创建一个数据框架，其中包含样本中每个公司的年收益。

使用 quantmod 包中的AnnualReturn函数，我只能使用以下函数一次计算一家公司的年收益：

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annualReturn函数所有结果的数据框，但它只返回循环中最后处理的公司的年收益。

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

我如何获得结果，使输出成为一个数据帧，其中包含样本中所有公司的年收益，而不只是一个？

解决方法

这是因为'yearly_return'在每次迭代中都得到更新。相反，我们可以创建一个list，然后根据序列号更新list

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

然后merge数据集

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