PMwR (version 0.19-3)

Adjust-Series: Adjust Time Series for Dividends and Splits

Description

Adjust a time series for dividends and splits.

Usage

div_adjust(x, t, div, backward = TRUE, additive = FALSE)
split_adjust(x, t, ratio, backward = TRUE)

Value

a numeric vector of length equal to length(x)

Arguments

x

a numeric vector: the series to be adjusted

t

An integer vector, specifying the positions in x at which dividends were paid (‘ex-days’) or at which a split occurred. Timestamps may be duplicated, e.g. several payments may occur on a single timestamp.

div

A numeric vector, specifying the dividends (or payments, cashflows). If necessary, recycled to the length of t.

ratio

a numeric vector, specifying the split ratios. The ratio must be ‘American Style’: a 2-for-1 stock split, for example, corresponds to a ratio of 2. (In other countries, for instance Germany, a 2-for-1 stock split would be called a 1-for-1 split: you keep your shares and receive one new share per share that you own.)

backward

logical

additive

logical

Author

Enrico Schumann

Details

With backward set to TRUE, which is the default, the final prices in the unadjusted series matches the final prices in the adjusted series.

References

Schumann, E. (2021) Portfolio Management with R. http://enricoschumann.net/PMwR/

Using div_adjust for handling generic external cashflows: http://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#returns-with-external-cashflows

Examples

x <- c(9.777, 10.04, 9.207, 9.406)
div <- 0.7
t <- 3

div_adjust(x, t, div)
div_adjust(x, t, div, FALSE)

## assume there were three splits: adjust shares outstanding
shares <- c(100, 100, 200, 200, 1000, 1500)
t <- c(3, 5, 6)
ratio <- c(2, 5, 1.5)
### => invert ratio
split_adjust(shares, t, 1/ratio)
## [1] 1500 1500 1500 1500 1500 1500

split_adjust(shares, t, 1/ratio, backward = FALSE)
## [1] 100 100 100 100 100 100