Apply it to your data 3

Which of your stock beat the market in 2022?

# Load packages
library(tidyverse)
library(tidyquant)

1 Get stock prices and convert to returns

Ra <- c("NKE", "AAPL", "SBUX") %>%
    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: 63 × 3
## # Groups:   symbol [3]
##    symbol date            Ra
##    <chr>  <date>       <dbl>
##  1 NKE    2022-01-31 -0.101 
##  2 NKE    2022-02-28 -0.0778
##  3 NKE    2022-03-31 -0.0123
##  4 NKE    2022-04-29 -0.0733
##  5 NKE    2022-05-31 -0.0469
##  6 NKE    2022-06-30 -0.138 
##  7 NKE    2022-07-29  0.124 
##  8 NKE    2022-08-31 -0.0737
##  9 NKE    2022-09-30 -0.217 
## 10 NKE    2022-10-31  0.115 
## # ℹ 53 more rows

2 Get baseline and convert to returns

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

## # A tibble: 21 × 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
## # ℹ 11 more rows

3 Join the two tables

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

## # A tibble: 63 × 4
## # Groups:   symbol [3]
##    symbol date            Ra      Rb
##    <chr>  <date>       <dbl>   <dbl>
##  1 NKE    2022-01-31 -0.101  -0.101 
##  2 NKE    2022-02-28 -0.0778 -0.0343
##  3 NKE    2022-03-31 -0.0123  0.0341
##  4 NKE    2022-04-29 -0.0733 -0.133 
##  5 NKE    2022-05-31 -0.0469 -0.0205
##  6 NKE    2022-06-30 -0.138  -0.0871
##  7 NKE    2022-07-29  0.124   0.123 
##  8 NKE    2022-08-31 -0.0737 -0.0464
##  9 NKE    2022-09-30 -0.217  -0.105 
## 10 NKE    2022-10-31  0.115   0.0390
## # ℹ 53 more rows

4 Calculate CAPM

RaRb_capm <- RaRb %>%
    tq_performance(Ra = Ra, 
                   Rb = Rb, 
                   performance_fun = table.CAPM)
RaRb_capm

## # A tibble: 3 × 13
## # Groups:   symbol [3]
##   symbol ActivePremium   Alpha AnnualizedAlpha  Beta `Beta-` `Beta+` Correlation
##   <chr>          <dbl>   <dbl>           <dbl> <dbl>   <dbl>   <dbl>       <dbl>
## 1 NKE          -0.183  -0.0161         -0.177  0.876   0.369   0.588       0.614
## 2 AAPL          0.0766  0.0079          0.0996 1.07    0.719   1.28        0.896
## 3 SBUX         -0.0091 -0.0007         -0.0079 0.727   0.892   0.292       0.586
## # ℹ 5 more variables: `Correlationp-value` <dbl>, InformationRatio <dbl>,
## #   `R-squared` <dbl>, TrackingError <dbl>, TreynorRatio <dbl>

Which Stock Has a positively skewed distribution of return?

RaRb_capm <- RaRb %>%
    tq_performance(Ra = Ra, 
                   Rb = Rb, 
                   performance_fun = CoSkewness)
RaRb_capm

## # A tibble: 3 × 2
## # Groups:   symbol [3]
##   symbol CoSkewness.1
##   <chr>         <dbl>
## 1 NKE       0.0000258
## 2 AAPL      0.0000423
## 3 SBUX     -0.0000592