 |
Travis
2017-06-10 10:44:47
|
|
Hi All, I have just started using Quantshare. I am an expeerienced quant analyst for a large institutional asset manager.
As a first step to start exploring this platform, I have started to download some EOD data. I would like to know more about how corporate actions are handled with the downloaders.
According to this page
https://www.quantshare.com/sa-112-stock-split-dividend
"Some databases are already adjusted, this is the case for example with the Yahoo database"
This seems problematic to me. Corporate Actions adjustments are not isolated in time. They accumulate over time.
So if you request adjusted EOD data for stock XYZ for the past 2 years, then tomorrow a corporate action happens, you can't just tack on the next day's adjusted EOD data to your database,
because the new corporate action will have to be reflected all the way back to the start of your data in your database.
So every time you update your database, you would have to update the entire database, rather than doing incremental updates.
There are 2 solutions to this.
1) Store unadjusted data and, separately, store the adjustment factors. Then when you want to do analysis for some period, you apply the adjustments as needed.
2) Store the daily returns only. If you want to do some analysis on prices, you just calculate the cumulative returns (which is just a rescaled version of prices) from the daily returns.
So my questions are:
1) Is it true that Yahoo finance returns adjusted data? If so, then it is not useful for storage (at least not directly).
2) Is there any way for me to get unadjusted data and, separately, adjustment factors?
|
|
0
