# Load packages

# Core
library(tidyverse)
library(tidyquant)

Goal

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

Choose your stocks. “ROKU”, “AAPL”, “CL=F”

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

1 Import stock prices

# Choose stocks

symbols <- c("ROKU", "AAPL", "CL=F")

# 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() %>%
  
  # rename
  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(0.35,
       0.45,
       0.20)

w_tbl <- tibble(symbols, w)

4 Build a portfolio

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

portfolio_returns_rebalanced_quarterly_tbl
## # A tibble: 20 × 2
##    date         returns
##    <date>         <dbl>
##  1 2013-03-28 -0.0367  
##  2 2013-06-28 -0.0393  
##  3 2013-09-30  0.0929  
##  4 2013-12-31  0.0415  
##  5 2014-03-31  0.000825
##  6 2014-06-30  0.0857  
##  7 2014-09-30 -0.0352  
##  8 2014-12-31 -0.208   
##  9 2015-03-31 -0.00733 
## 10 2015-06-30  0.104   
## 11 2015-09-30 -0.168   
## 12 2015-12-31 -0.103   
## 13 2016-03-31  0.0296  
## 14 2016-06-30  0.0604  
## 15 2016-09-30  0.0597  
## 16 2016-12-30  0.0587  
## 17 2017-03-31  0.0500  
## 18 2017-06-30 -0.0402  
## 19 2017-09-29  0.0770  
## 20 2017-12-29  0.238
# write_rds(portfolio_returns_rebalanced_quarterly_tbl,
#           "00_data/Ch03_portfolio_returns_rebalanced_quarterly_tbl.rds")

5 Plot: Portfolio Histogram and Density

portfolio_returns_rebalanced_quarterly_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")

What return should you expect from the portfolio in a typical quarter? In a typical quarter, I should expect to get a -0.04 return