Comments on: Downloading Monthly Returns into Google Docs

By: Lucid Thoughts

Lucid Thoughts — Sat, 23 Feb 2019 22:15:25 +0000

When using monthly prices, be careful about the dates. Even though the date may say; e.g. December 1, 2018, it is really the performance for the entire month of December– so the opening price is the opening as of the first trading day in December and the closing is the closing as of the last day of December. To see this compare the prices between a Monthly table and a daily table.
Also, if you want total returns use the adjusted closing prices.
Finally, opening price of one day is different from the closing price of the previous day due to after hour trading.

By: Robert Marr

Robert Marr — Mon, 08 May 2017 16:34:01 +0000

Yahoo used to be real good about providing adjusted closing prices, but I just noticed today that they only have closing prices for a whole bunch of mutual funds. God knows how many. This is a big problem and there doesn’t appear to be a direct way to contact them.

By: Dave Lange

Dave Lange — Tue, 24 Dec 2013 20:26:03 +0000

I was just playing around with yahoo finance historical data
It looks like there are different values for monthly adjusted and daily adjusted.
Neither look like the unadjusted close, but they don’t match.
How about another blog entry on why daily adjusted is different and maybe what is appropriate for what?
If it matters I was using KYN from late 2012 to late 2013

Dave

By: calcinv

calcinv — Thu, 14 Mar 2013 03:28:47 +0000

In reply to Will McLeod. Calculating returns from the adjusted prices gives total returns (dividends + capital gain/loss). If I used the price series, the returns would not include dividends.

By: Will McLeod

Will McLeod — Wed, 13 Mar 2013 22:06:43 +0000

There actually is a regression tool I believe. it is called linest. Can you explain why you would want adjusted prices for Fama-French calculations?

By: calcinv

calcinv — Tue, 11 Sep 2012 13:45:42 +0000

In reply to Nathan.

Hi Nathan,

Thanks for the comments. The monthly returns are calculated from the end of month adjusted closing prices. For example, the return for April would use the March close and April close to compute the return. So, I always have closing price data for the month prior to the first monthly return reported. There shouldn’t be any partial months at the beginning of the series. At least I hope I did the calculation right! 🙂 The last month is a partial month though, it just shows the return to date….but if you are running a regression you probably don’t have factor data for that month, so it would be thrown out anyway.

I actually tried to create an automated Fama-French regression sheet in Google Docs. The problem is that there is no built in regression function, so I had to use the “solve” tool to calculate the loadings and it is extremely slow. It is unusable if there are a meaningful number of data points. There may be a better way to do it, but I haven’t figured it out yet.

-Chad

By: Nathan

Nathan — Tue, 11 Sep 2012 10:59:56 +0000

Sweet, this should save me some time. One thing to note – you might want to cut off the first month in cases where the start month is before the first month of returns – the reason being that it will generally be only a partial month, so the return for that month will add a slight error to whatever regression etc. you use the data for.

So next, do you want to maintain google docs of the FF research factors, then have this spreadsheet pull those in automatically too? 😉