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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 31.82712 52.51540 37.52378 61.13185 28.10298
## 2010-01-05 87.08999 40.73327 32.05813 52.33482 37.55686 61.52664 28.17045
## 2010-01-06 87.15131 40.48757 32.12521 52.28558 37.71560 60.70304 28.15819
## 2010-01-07 87.51920 40.51389 31.93890 52.67135 37.57009 60.80512 28.40972
## 2010-01-08 87.81047 40.84735 32.19226 52.95863 37.86774 60.77788 28.21954
## 2010-01-11 87.93309 40.68062 32.12521 52.74522 38.17862 60.44436 28.35450
## 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 31.82712 52.51540 37.52378 61.13185 28.10298
## 2010-01-05 87.08999 40.73327 32.05813 52.33482 37.55686 61.52664 28.17045
## 2010-01-06 87.15131 40.48757 32.12521 52.28558 37.71560 60.70304 28.15819
## 2010-01-07 87.51920 40.51389 31.93890 52.67135 37.57009 60.80512 28.40972
## 2010-01-08 87.81047 40.84735 32.19226 52.95863 37.86774 60.77788 28.21954
## 2010-01-11 87.93309 40.68062 32.12521 52.74522 38.17862 60.44436 28.35450
## 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 -0.008117646 -0.015037419 -0.02893527 -0.01301907 -0.003493371
## 2010-01-22 -0.038982963 -0.036859185 -0.05578046 -0.03062185 -0.055741023
## 2010-01-29 -0.016665069 -0.031023851 -0.03357743 -0.02624332 -0.025802494
## 2010-02-05 -0.006797335 0.004440222 -0.02821327 -0.01397437 -0.019055001
## 2010-02-12 0.012938190 0.018148254 0.03333323 0.02952613 0.005244941
## 2010-02-19 0.028692959 0.024451955 0.02445402 0.03343147 0.022995310
## TLT IYR GLD
## 2010-01-15 2.004744e-02 -0.006304221 -0.004579349
## 2010-01-22 1.010099e-02 -0.041785498 -0.033285246
## 2010-01-29 3.369614e-03 -0.008447377 -0.011290465
## 2010-02-05 -5.470074e-05 0.003223094 -0.012080019
## 2010-02-12 -1.946020e-02 -0.007573292 0.022544905
## 2010-02-19 -8.205315e-03 0.050184581 0.022701796
## SPY QQQ EEM IWM EFA
## 2010-02-26 0.03119473 0.04603892 0.017763812 0.04475143 0.002667777
## 2010-03-31 0.06087957 0.07710883 0.081108981 0.08230681 0.063853774
## 2010-04-30 0.01547051 0.02242531 -0.001662001 0.05678472 -0.028045488
## 2010-05-28 -0.07945498 -0.07392354 -0.093935808 -0.07536624 -0.111928024
## 2010-06-30 -0.05174083 -0.05975674 -0.013986656 -0.07743429 -0.020619409
## 2010-07-30 0.06830102 0.07258224 0.109324986 0.06730942 0.116104116
## TLT IYR GLD
## 2010-02-26 -0.003424169 0.05457003 0.032748219
## 2010-03-31 -0.020572780 0.09748513 -0.004386396
## 2010-04-30 0.033216695 0.06388151 0.058834363
## 2010-05-28 0.051083616 -0.05683540 0.030513147
## 2010-06-30 0.057978314 -0.04670127 0.023553189
## 2010-07-30 -0.009463714 0.09404771 -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 0.04170778 0.06727649 0.002062433 0.0009053106
## 171986 <NA> 23.56 -3.89 25.49 0.04170778 0.06727649 0.002062433 0.0009053106
## 171987 <NA> -21.60 -6.95 25.81 0.04170778 0.06727649 0.002062433 0.0009053106
## 171988 <NA> 21.70 -3.23 -13.58 0.04170778 0.06727649 0.002062433 0.0009053106
## 171989 <NA> NA NA NA 0.04170778 0.06727649 0.002062433 0.0009053106
## 171990 <NA> NA NA NA 0.04170778 0.06727649 0.002062433 0.0009053106
## EFA TLT IYR GLD
## 171985 0.02820616 0.02376799 0.03371777 0.02169283
## 171986 0.02820616 0.02376799 0.03371777 0.02169283
## 171987 0.02820616 0.02376799 0.03371777 0.02169283
## 171988 0.02820616 0.02376799 0.03371777 0.02169283
## 171989 0.02820616 0.02376799 0.03371777 0.02169283
## 171990 0.02820616 0.02376799 0.03371777 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