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Q1
## [1] "SPY" "QQQ" "EEM" "IWM" "EFA" "TLT" "IYR" "GLD"
## SPY QQQ EEM IWM EFA TLT IYR
## 2010-01-04 86.86007 40.73327 31.82711 52.51538 37.52378 61.13187 28.10298
## 2010-01-05 87.08996 40.73327 32.05812 52.33483 37.55685 61.52665 28.17046
## 2010-01-06 87.15131 40.48759 32.12519 52.28558 37.71560 60.70303 28.15820
## 2010-01-07 87.51920 40.51391 31.93889 52.67135 37.57010 60.80515 28.40972
## 2010-01-08 87.81046 40.84736 32.19225 52.95865 37.86773 60.77792 28.21953
## 2010-01-11 87.93310 40.68063 32.12519 52.74524 38.17862 60.44438 28.35449
## GLD
## 2010-01-04 109.80
## 2010-01-05 109.70
## 2010-01-06 111.51
## 2010-01-07 110.82
## 2010-01-08 111.37
## 2010-01-11 112.85
Q2
## SPY QQQ EEM IWM EFA TLT IYR
## 2010-01-04 86.86007 40.73327 31.82711 52.51538 37.52378 61.13187 28.10298
## 2010-01-05 87.08996 40.73327 32.05812 52.33483 37.55685 61.52665 28.17046
## 2010-01-06 87.15131 40.48759 32.12519 52.28558 37.71560 60.70303 28.15820
## 2010-01-07 87.51920 40.51391 31.93889 52.67135 37.57010 60.80515 28.40972
## 2010-01-08 87.81046 40.84736 32.19225 52.95865 37.86773 60.77792 28.21953
## 2010-01-11 87.93310 40.68063 32.12519 52.74524 38.17862 60.44438 28.35449
## GLD
## 2010-01-04 109.80
## 2010-01-05 109.70
## 2010-01-06 111.51
## 2010-01-07 110.82
## 2010-01-08 111.37
## 2010-01-11 112.85
## SPY QQQ EEM IWM EFA
## 2010-01-15 -0.008117387 -0.015037882 -0.02893492 -0.01301943 -0.003493372
## 2010-01-22 -0.038982960 -0.036859098 -0.05578076 -0.03062170 -0.055740624
## 2010-01-29 -0.016664885 -0.031023952 -0.03357744 -0.02624332 -0.025802700
## 2010-02-05 -0.006797889 0.004440731 -0.02821314 -0.01397445 -0.019054779
## 2010-02-12 0.012938847 0.018147945 0.03333343 0.02952589 0.005244715
## 2010-02-19 0.028692580 0.024451558 0.02445355 0.03343162 0.022995196
## TLT IYR GLD
## 2010-01-15 2.004680e-02 -0.006304155 -0.004579349
## 2010-01-22 1.010112e-02 -0.041785234 -0.033285246
## 2010-01-29 3.369248e-03 -0.008447447 -0.011290465
## 2010-02-05 -5.482218e-05 0.003223953 -0.012080019
## 2010-02-12 -1.945966e-02 -0.007574214 0.022544905
## 2010-02-19 -8.205066e-03 0.050184944 0.022701796
## SPY QQQ EEM IWM EFA
## 2010-02-26 0.03119435 0.04603924 0.017764016 0.04475112 0.002667777
## 2010-03-31 0.06088002 0.07710882 0.081108521 0.08230704 0.063853876
## 2010-04-30 0.01547017 0.02242513 -0.001661941 0.05678458 -0.028045689
## 2010-05-28 -0.07945473 -0.07392363 -0.093935782 -0.07536631 -0.111928024
## 2010-06-30 -0.05174082 -0.05975647 -0.013986392 -0.07743402 -0.020619349
## 2010-07-30 0.06830004 0.07258273 0.109324994 0.06730926 0.116103926
## TLT IYR GLD
## 2010-02-26 -0.003423745 0.05457067 0.032748219
## 2010-03-31 -0.020573935 0.09748487 -0.004386396
## 2010-04-30 0.033218596 0.06388100 0.058834363
## 2010-05-28 0.051083275 -0.05683547 0.030513147
## 2010-06-30 0.057978173 -0.04670098 0.023553189
## 2010-07-30 -0.009463711 0.09404808 -0.050871157
Q3
## Warning: One or more parsing issues, call `problems()` on your data frame for details,
## e.g.:
## dat <- vroom(...)
## problems(dat)
## Rows: 1274 Columns: 4
## ── Column specification ────────────────────────────────────────────────────────
## Delimiter: ","
## chr (1): date
## dbl (3): Mkt-RF, SMB, HML
##
## ℹ Use `spec()` to retrieve the full column specification for this data.
## ℹ Specify the column types or set `show_col_types = FALSE` to quiet this message.
## Warning in lapply(fama_french_data, as.numeric): NAs introduced by coercion
## List of 4
## $ date : num [1:1272] 201002 201003 201004 201005 201006 ...
## $ Mkt-RF: num [1:1272] 3.4 6.31 2 -7.89 -5.57 6.93 -4.77 9.54 3.88 0.6 ...
## $ SMB : num [1:1272] 1.19 1.48 4.87 0.09 -1.82 0.2 -3 3.96 1.14 3.77 ...
## $ HML : num [1:1272] 3.23 2.21 2.89 -2.44 -4.7 -0.31 -1.9 -3.16 -2.43 -0.96 ...
## Warning: One or more parsing issues, call `problems()` on your data frame for details,
## e.g.:
## dat <- vroom(...)
## problems(dat)
## Rows: 1274 Columns: 4
## ── Column specification ────────────────────────────────────────────────────────
## Delimiter: ","
## chr (1): date
## dbl (3): Mkt-RF, SMB, HML
##
## ℹ Use `spec()` to retrieve the full column specification for this data.
## ℹ Specify the column types or set `show_col_types = FALSE` to quiet this message.
## # A tibble: 6 × 4
## date `Mkt-RF` SMB HML
## <chr> <dbl> <dbl> <dbl>
## 1 201001 -3.36 0.4 0.43
## 2 201002 3.4 1.19 3.23
## 3 201003 6.31 1.48 2.21
## 4 201004 2 4.87 2.89
## 5 201005 -7.89 0.09 -2.44
## 6 201006 -5.57 -1.82 -4.7
## Warning: There was 1 warning in `mutate()`.
## ℹ In argument: `date = ymd(parse_date(date, format = "%Y%m"))`.
## Caused by warning:
## ! 99 parsing failures.
## row col expected actual
## 1174 -- date like %Y%m Annual Factors: January-December
## 1176 -- date like %Y%m 1927
## 1177 -- date like %Y%m 1928
## 1178 -- date like %Y%m 1929
## 1179 -- date like %Y%m 1930
## .... ... .............. ................................
## See problems(...) for more details.
## # A tibble: 6 × 4
## date `MKT-RF` SMB HML
## <date> <dbl> <dbl> <dbl>
## 1 2009-12-31 -3.36 0.4 0.43
## 2 2010-01-31 3.4 1.19 3.23
## 3 2010-02-28 6.31 1.48 2.21
## 4 2010-03-31 2 4.87 2.89
## 5 2010-04-30 -7.89 0.09 -2.44
## 6 2010-05-31 -5.57 -1.82 -4.7
Q4 Merge
## date MKT-RF SMB HML SPY QQQ EEM IWM
## 171985 <NA> 23.66 13.18 -46.67 0.04170754 0.06727679 0.002062202 0.0009050949
## 171986 <NA> 23.56 -3.89 25.49 0.04170754 0.06727679 0.002062202 0.0009050949
## 171987 <NA> -21.60 -6.95 25.81 0.04170754 0.06727679 0.002062202 0.0009050949
## 171988 <NA> 21.70 -3.23 -13.58 0.04170754 0.06727679 0.002062202 0.0009050949
## 171989 <NA> NA NA NA 0.04170754 0.06727679 0.002062202 0.0009050949
## 171990 <NA> NA NA NA 0.04170754 0.06727679 0.002062202 0.0009050949
## EFA TLT IYR GLD
## 171985 0.02820616 0.02376812 0.03371759 0.02169283
## 171986 0.02820616 0.02376812 0.03371759 0.02169283
## 171987 0.02820616 0.02376812 0.03371759 0.02169283
## 171988 0.02820616 0.02376812 0.03371759 0.02169283
## 171989 0.02820616 0.02376812 0.03371759 0.02169283
## 171990 0.02820616 0.02376812 0.03371759 0.02169283
## # A tibble: 6 × 12
## date `MKT-RF` SMB HML SPY QQQ EEM IWM EFA TLT
## <date> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 2009-12-31 -3.36 0.4 0.43 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 2 2010-01-31 3.4 1.19 3.23 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 3 2010-02-28 6.31 1.48 2.21 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 4 2010-03-31 2 4.87 2.89 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 5 2010-04-30 -7.89 0.09 -2.44 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 6 2010-05-31 -5.57 -1.82 -4.7 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## # ℹ 2 more variables: IYR <dbl>, GLD <dbl>
Q5
## # A tibble: 6 × 12
## date `MKT-RF` SMB HML SPY QQQ EEM IWM EFA TLT
## <date> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 2019-03-31 3.97 -1.74 2.15 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 2 2019-04-30 -6.94 -1.32 -2.37 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 3 2019-05-31 6.93 0.29 -0.71 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 4 2019-06-30 1.19 -1.93 0.48 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 5 2019-07-31 -2.58 -2.38 -4.78 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 6 2019-08-31 1.43 -0.96 6.75 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## # ℹ 2 more variables: IYR <dbl>, GLD <dbl>
## Warning: Unknown or uninitialised column: `RF`.
## Unknown or uninitialised column: `RF`.
## Unknown or uninitialised column: `RF`.
## Unknown or uninitialised column: `RF`.
## Unknown or uninitialised column: `RF`.
## Unknown or uninitialised column: `RF`.
## Unknown or uninitialised column: `RF`.
## Unknown or uninitialised column: `RF`.
Q6
## # A tibble: 6 × 7
## QQQ EEM IWM EFA TLT IYR GLD
## <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 0.0460 0.0178 0.0448 0.00267 -0.00342 0.0546 0.0327
## 2 0.0460 0.0178 0.0448 0.00267 -0.00342 0.0546 0.0327
## 3 0.0460 0.0178 0.0448 0.00267 -0.00342 0.0546 0.0327
## 4 0.0460 0.0178 0.0448 0.00267 -0.00342 0.0546 0.0327
## 5 0.0460 0.0178 0.0448 0.00267 -0.00342 0.0546 0.0327
## 6 0.0460 0.0178 0.0448 0.00267 -0.00342 0.0546 0.0327
Q7
## # A tibble: 1 × 12
## date `MKT-RF` SMB HML SPY QQQ EEM IWM EFA TLT
## <date> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 NA NA NA NA 0.0417 0.0673 0.00206 0.000905 0.0282 0.0238
## # ℹ 2 more variables: IYR <dbl>, GLD <dbl>
## # A tibble: 1 × 7
## QQQ EEM IWM EFA TLT IYR GLD
## <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 0.0673 0.00206 0.000905 0.0282 0.0238 0.0337 0.0217