Daily log returns for S&P 500, Bitcoin, and Gold

hedgedata provides daily log returns for three major financial assets: S&P 500 (SP), Bitcoin (BTC), and Gold (GLD), obtained from Yahoo Finance. The data are stored as a wide-format zoo object with a Date index.

Usage

hedgedata

Format

A zoo object indexed by Date with 3 numeric columns:

SP: Daily log return of the S\(\&\)P 500 index (Yahoo symbol ^GSPC).
BTC: Daily log return of Bitcoin priced in USD (Yahoo symbol BTC-USD).
GLD: Daily log return of Gold (front-month futures, Yahoo symbol GC=F).

Source

Yahoo Finance:

S\(\&\)P 500: ^GSPC
Bitcoin (USD): BTC-USD
Gold: GC=F

Details

Data construction process

The dataset was created using the following R workflow:

library(quantmod)
library(zoo)

symbols <- c("^GSPC", "BTC-USD", "GC=F")
names_vec <- c("SP", "BTC", "GLD")

from <- as.Date("2015-01-01")
to <- Sys.Date()

# Download daily closing prices
get_close <- function(sym, from, to) {
  x <- getSymbols(sym, src = "yahoo", from = from, to = to, auto.assign = FALSE)
  Cl(x)
}

prices <- do.call(merge, lapply(symbols, get_close, from = from, to = to))
colnames(prices) <- names_vec

# Compute daily log returns
hedgedata <- diff(log(prices))
hedgedata <- na.omit(hedgedata)

# Save into package
usethis::use_data(hedgedata, overwrite = TRUE)

Log returns are computed as \(\log(P_t / P_{t-1})\).
Data are daily and aligned by calendar date.
Missing values (due to non-trading days) are left as NA before na.omit().

Examples

data(hedgedata)
head(hedgedata)
#>                      SP         BTC           GLD
#> 2015-01-06 -0.008933255  0.04179588  1.271066e-02
#> 2015-01-07  0.011562736  0.02807297 -7.160879e-03
#> 2015-01-08  0.017730168 -0.03804604 -1.818894e-03
#> 2015-01-09 -0.008439322  0.02460744  6.269593e-03
#> 2015-01-13 -0.002581885 -0.17030573  1.297201e-03
#> 2015-01-14 -0.005830029 -0.23755772  8.099452e-05

# Plot all assets' log returns
plot(hedgedata, main = "Daily Log Returns: S&P 500, Bitcoin, and Gold")