Apply it to your Data 1

Which of the your stock beat the market in 2022

library(tidyverse)
library(tidyquant)

Get Stock Prices and Convert to Returns

Ra <- c("AMZN", "TSLA", "ABC") %>%
    tq_get(get = "stock.prices" , 
           from = "2022-01-01") %>%
    group_by(symbol) %>%
    tq_transmute(select = adjusted,
                 mutate_fun = periodReturn,
                 period = "monthly",
                 col_rename = "Ra")
Ra

## # A tibble: 42 × 3
## # Groups:   symbol [3]
##    symbol date            Ra
##    <chr>  <date>       <dbl>
##  1 AMZN   2022-01-31 -0.122 
##  2 AMZN   2022-02-28  0.0267
##  3 AMZN   2022-03-31  0.0614
##  4 AMZN   2022-04-29 -0.238 
##  5 AMZN   2022-05-31 -0.0328
##  6 AMZN   2022-06-30 -0.116 
##  7 AMZN   2022-07-29  0.271 
##  8 AMZN   2022-08-31 -0.0606
##  9 AMZN   2022-09-30 -0.109 
## 10 AMZN   2022-10-31 -0.0935
## # … with 32 more rows

Get Baseline and Convert to Returns

Rb <- c("^IXIC") %>%
    tq_get(get = "stock.prices" , 
           from = "2022-01-01") %>%
    group_by(symbol) %>%
    tq_transmute(select = adjusted,
                 mutate_fun = periodReturn,
                 period = "monthly",
                 col_rename = "Rb")
Rb

## # A tibble: 14 × 3
## # Groups:   symbol [1]
##    symbol date            Rb
##    <chr>  <date>       <dbl>
##  1 ^IXIC  2022-01-31 -0.101 
##  2 ^IXIC  2022-02-28 -0.0343
##  3 ^IXIC  2022-03-31  0.0341
##  4 ^IXIC  2022-04-29 -0.133 
##  5 ^IXIC  2022-05-31 -0.0205
##  6 ^IXIC  2022-06-30 -0.0871
##  7 ^IXIC  2022-07-29  0.123 
##  8 ^IXIC  2022-08-31 -0.0464
##  9 ^IXIC  2022-09-30 -0.105 
## 10 ^IXIC  2022-10-31  0.0390
## 11 ^IXIC  2022-11-30  0.0437
## 12 ^IXIC  2022-12-30 -0.0873
## 13 ^IXIC  2023-01-31  0.107 
## 14 ^IXIC  2023-02-13  0.0265

Join the Two Tables

RaRb <- left_join(Ra, Rb, by = c("date" = "date"))
RaRb

## # A tibble: 42 × 5
##    symbol.x date            Ra symbol.y      Rb
##    <chr>    <date>       <dbl> <chr>      <dbl>
##  1 AMZN     2022-01-31 -0.122  ^IXIC    -0.101 
##  2 AMZN     2022-02-28  0.0267 ^IXIC    -0.0343
##  3 AMZN     2022-03-31  0.0614 ^IXIC     0.0341
##  4 AMZN     2022-04-29 -0.238  ^IXIC    -0.133 
##  5 AMZN     2022-05-31 -0.0328 ^IXIC    -0.0205
##  6 AMZN     2022-06-30 -0.116  ^IXIC    -0.0871
##  7 AMZN     2022-07-29  0.271  ^IXIC     0.123 
##  8 AMZN     2022-08-31 -0.0606 ^IXIC    -0.0464
##  9 AMZN     2022-09-30 -0.109  ^IXIC    -0.105 
## 10 AMZN     2022-10-31 -0.0935 ^IXIC     0.0390
## # … with 32 more rows

Calculate CAPM

RaRb_Correlation <- RaRb %>%
    tq_performance(Ra = Ra,
                   Rb = Rb,
                   performance_fun = table.Correlation)
RaRb_Correlation

## # A tibble: 1 × 4
##     `p-value` `Lower CI` `Upper CI` to.Rb
##         <dbl>      <dbl>      <dbl> <dbl>
## 1 0.000000576      0.481      0.818 0.685