R 代码：为什么预期的 return 无穷大？

Question

R 代码的目的是从 Yahoo 读取 MSFT 历史价格，并计算其 return 每日开盘价。

#load packages
library(quantmod)
library(PerformanceAnalytics)

getSymbols("MSFT") #read data

#Call function to analyze open price
table.AnnualizedReturns(MSFT[,1]) #End of the code

结果总是显示其return为无穷大如下：

                          MSFT.Open
Annualized Return               Inf
Annualized Std Dev         136.4471
Annualized Sharpe (Rf=0%)       Inf

如果有人能帮助我找出导致无穷大的错误，我将不胜感激。

Answer 1

我认为您需要先将价格转换为 returns 才能使用 table.AnnulizedReturns

#load packages
library(quantmod)
library(PerformanceAnalytics)

getSymbols("MSFT") #read data

#Call function to analyze open price

r <- Return.calculate(MSFT[,1]) #Returns

table.AnnualizedReturns(na.omit(r)) #End of the code

                          MSFT.Open
Annualized Return            0.0683
Annualized Std Dev           0.2735
Annualized Sharpe (Rf=0%)    0.2498

R 代码：为什么预期的 return 无穷大？

R-code: Why is the expected return infinity?

r

quantitative-finance

quantmod

performanceanalytics