# Load packages

# Core
library(tidyverse)
library(tidyquant)

Goal

Collect individual returns into a portfolio by assigning a weight to each stock

Choose your stocks.

from 2012-12-31 to 2017-12-31

1 Import stock prices

symbols <- c("AMC", "HD", "MSFT", "TSLA", "WAL")

# Using tq_get() ----
prices <- tq_get(x = symbols,
                 get = "stock.prices",
                 from = "2012-12-31",
                 to = "2017-12-31")

2 Convert prices to returns (quarterly)

asset_returns_tbl <- prices %>%

    # Calculate quarterly returns
    group_by(symbol) %>%
    tq_transmute(select = adjusted,
                 mutate_fun = periodReturn,
                 period = "quarterly",
                 type = "log") %>%
    slice(-1) %>%
    ungroup() %>%

    set_names(c("asset", "date", "returns"))

# period_returns = c("yearly", "quarterly", "monthly", "weekly")

3 Assign a weight to each asset (change the weigting scheme)

symbols <- asset_returns_tbl %>% distinct(asset) %>% pull()

w <- c(0.25,
       0.25,
       0.20,
       0.20,
       0.10)

w_tbl <- tibble(symbols, w)

4 Build a portfolio

portfolio_returns_rebalanced_monthly_tbl <- asset_returns_tbl %>%
    
    tq_portfolio(assets_col   = asset,
                 returns_col  = returns,
                 weights      = w_tbl,
                 col_rename   = "returns",
                 rebalance_on = "quarters")

portfolio_returns_rebalanced_monthly_tbl
## # A tibble: 20 × 2
##    date        returns
##    <date>        <dbl>
##  1 2013-03-28  0.0967 
##  2 2013-06-28  0.288  
##  3 2013-09-30  0.126  
##  4 2013-12-31  0.0196 
##  5 2014-03-31  0.121  
##  6 2014-06-30  0.0435 
##  7 2014-09-30  0.0381 
##  8 2014-12-31  0.0669 
##  9 2015-03-31  0.0457 
## 10 2015-06-30  0.0606 
## 11 2015-09-30 -0.0613 
## 12 2015-12-31  0.0782 
## 13 2016-03-31  0.0269 
## 14 2016-06-30 -0.0449 
## 15 2016-09-30  0.0640 
## 16 2016-12-30  0.0833 
## 17 2017-03-31  0.0739 
## 18 2017-06-30 -0.00550
## 19 2017-09-29 -0.0788 
## 20 2017-12-29  0.0620
# write_rds(portfolio_returns_rebalanced_monthly_tbl,
#           "00_data/Ch03_portfolio_returns_rebalanced_monthly_tbl.rds")

5 Plot: Portfolio Histogram and Density

portfolio_returns_rebalanced_monthly_tbl %>%
    
    ggplot(aes(x = date, y = returns)) +
    geom_point(color = "cornflower blue") +
    
    # Formatting
    scale_x_date(breaks = scales::breaks_pretty(n = 6)) +
    
    labs(title = "Portfolio Returns Scatter",
         y = "quarterly return")

portfolio_returns_rebalanced_monthly_tbl %>%
    
    ggplot(aes(returns)) +
    geom_histogram(fill = "cornflower blue",
                   binwidth = 0.005) +
    
    labs(title = "Portfolio Returns Distribution",
         y = "count",
         x = "returns")

portfolio_returns_rebalanced_monthly_tbl %>%
    
    ggplot(aes(returns)) +
    geom_histogram(fill = "cornflower blue",
                   binwidth = 0.01) +
    geom_density(aes(returns)) +
    
    labs(title = "Portfolio Histogram and Density",
         y = "distribution",
         x = "quarterly returns")

What return should you expect from the portfolio in a typical quarter?

You should expect a return between .01 - 0.1