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1 Get stock prices and convert to returns
## # A tibble: 70 × 3
## # Groups: symbol [5]
## symbol date Ra
## <chr> <date> <dbl>
## 1 TSLA 2022-01-31 -0.219
## 2 TSLA 2022-02-28 -0.0708
## 3 TSLA 2022-03-31 0.238
## 4 TSLA 2022-04-29 -0.192
## 5 TSLA 2022-05-31 -0.129
## 6 TSLA 2022-06-30 -0.112
## 7 TSLA 2022-07-29 0.324
## 8 TSLA 2022-08-31 -0.0725
## 9 TSLA 2022-09-30 -0.0376
## 10 TSLA 2022-10-31 -0.142
## # … with 60 more rows
2 Get baseline and convert to returns
## # A tibble: 14 × 2
## date Rb
## <date> <dbl>
## 1 2022-01-31 -0.101
## 2 2022-02-28 -0.0343
## 3 2022-03-31 0.0341
## 4 2022-04-29 -0.133
## 5 2022-05-31 -0.0205
## 6 2022-06-30 -0.0871
## 7 2022-07-29 0.123
## 8 2022-08-31 -0.0464
## 9 2022-09-30 -0.105
## 10 2022-10-31 0.0390
## 11 2022-11-30 0.0437
## 12 2022-12-30 -0.0873
## 13 2023-01-31 0.107
## 14 2023-02-10 0.0115
3 Join the two tables
## # A tibble: 70 × 4
## # Groups: symbol [5]
## symbol date Ra Rb
## <chr> <date> <dbl> <dbl>
## 1 TSLA 2022-01-31 -0.219 -0.101
## 2 TSLA 2022-02-28 -0.0708 -0.0343
## 3 TSLA 2022-03-31 0.238 0.0341
## 4 TSLA 2022-04-29 -0.192 -0.133
## 5 TSLA 2022-05-31 -0.129 -0.0205
## 6 TSLA 2022-06-30 -0.112 -0.0871
## 7 TSLA 2022-07-29 0.324 0.123
## 8 TSLA 2022-08-31 -0.0725 -0.0464
## 9 TSLA 2022-09-30 -0.0376 -0.105
## 10 TSLA 2022-10-31 -0.142 0.0390
## # … with 60 more rows
4 Calculate CAPM
## # A tibble: 5 × 13
## # Groups: symbol [5]
## symbol ActiveP…¹ Alpha Annua…² Beta `Beta-` `Beta+` Corre…³ Corre…⁴ Infor…⁵
## <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 TSLA -0.228 0.0107 0.136 2.08 0.908 3.25 0.759 0.0016 -0.390
## 2 GM -0.055 0.007 0.0871 1.41 1.60 1.10 0.834 0.0002 -0.194
## 3 F -0.0888 0.0132 0.171 1.77 1.44 2.41 0.871 0.0001 -0.253
## 4 VWAGY -0.0578 -0.0042 -0.049 1.02 1.22 0.895 0.815 0.0004 -0.285
## 5 HMC 0.138 0.006 0.0743 0.610 0.834 0.683 0.668 0.009 0.632
## # … with 3 more variables: `R-squared` <dbl>, TrackingError <dbl>,
## # TreynorRatio <dbl>, and abbreviated variable names ¹ActivePremium,
## # ²AnnualizedAlpha, ³Correlation, ⁴`Correlationp-value`, ⁵InformationRatio
Which stock has a positively skewed distribution of returns?
## # A tibble: 5 × 2
## # Groups: symbol [5]
## symbol VolatilitySkewness.1
## <chr> <dbl>
## 1 TSLA 2.51
## 2 GM 3.21
## 3 F 1.57
## 4 VWAGY 0.749
## 5 HMC 5.21