industry_porto
Fahrial Hisyam
2024-05-26
# Load necessary libraries
library(quantmod)## Loading required package: xts## Loading required package: zoo##
## Attaching package: 'zoo'## The following objects are masked from 'package:base':
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## as.Date, as.Date.numeric## Loading required package: TTR## Registered S3 method overwritten by 'quantmod':
## method from
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## ✔ ggplot2 3.5.1 ✔ tibble 3.2.1
## ✔ lubridate 1.9.3 ✔ tidyr 1.3.1
## ✔ purrr 1.0.2## ── Conflicts ────────────────────────────────────────── tidyverse_conflicts() ──
## ✖ dplyr::filter() masks stats::filter()
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## ℹ Use the conflicted package (<http://conflicted.r-lib.org/>) to force all conflicts to become errorslibrary(xts)
library(PerformanceAnalytics)##
## Attaching package: 'PerformanceAnalytics'
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## The following object is masked from 'package:graphics':
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## legendlibrary(tseries)
# Load the historical price data
industry <- read.csv('10_Industry_Portfolios.CSV', stringsAsFactors = FALSE)print(tail(industry))## date NoDur Durbl Manuf Enrgy HiTec Telcm Shops Hlth Utils Other
## 1168 202310 -3.53 -17.88 -2.76 -6.24 -1.78 -0.18 0.47 -4.58 1.12 -2.53
## 1169 202311 5.02 15.76 8.68 -1.29 11.96 6.97 7.18 5.87 5.08 10.41
## 1170 202312 3.53 6.61 6.35 0.18 4.70 2.26 5.90 6.90 1.69 6.54
## 1171 202401 -1.77 -17.91 -1.22 -0.11 3.04 4.53 1.28 3.52 -3.00 1.04
## 1172 202402 1.92 7.21 5.26 2.95 6.15 -2.72 9.46 4.63 2.43 4.75
## 1173 202403 2.99 -5.56 4.48 10.31 2.42 3.08 2.63 2.19 7.03 4.46colnames(industry) <- paste(c("date", "nodur", "durbl","manuf","enrgy","hitec","telcm", "shops","hlth","utils", "other"))
industry.digit <- industry %>% mutate(date = as.character(date))%>%
mutate(date=ymd(parse_date(date,format="%Y%m"))) %>%
mutate(date=rollback(date))
head(industry.digit)## date nodur durbl manuf enrgy hitec telcm shops hlth utils other
## 1 1926-06-30 1.45 15.55 4.69 -1.18 2.90 0.83 0.11 1.77 7.04 2.13
## 2 1926-07-31 3.97 3.68 2.81 3.47 2.66 2.17 -0.71 4.25 -1.69 4.35
## 3 1926-08-31 1.14 4.80 1.15 -3.39 -0.38 2.41 0.21 0.69 2.04 0.29
## 4 1926-09-30 -1.24 -8.23 -3.63 -0.78 -4.58 -0.11 -2.29 -0.57 -2.63 -2.84
## 5 1926-10-31 5.20 -0.19 4.10 0.01 4.71 1.63 6.43 5.42 3.71 2.11
## 6 1926-11-30 0.82 9.89 3.74 2.82 -0.02 1.99 0.62 0.11 -0.17 3.47# Filter rows where 'date' contains dates after January 1, 1969
filtered_data <- industry.digit %>%
filter(date > as.Date("1969-01-01"))
# View the resulting filtered data
print(filtered_data)## date nodur durbl manuf enrgy hitec telcm shops hlth utils
## 1 1969-01-31 -6.59 -3.47 -5.71 -4.60 -3.61 -3.33 -4.13 -5.16 -5.21
## 2 1969-02-28 0.71 5.11 2.60 7.12 5.45 -0.42 5.06 3.34 -1.29
## 3 1969-03-31 1.06 1.22 1.33 -0.36 3.96 7.73 3.77 4.98 1.33
## 4 1969-04-30 1.21 0.14 -0.86 3.76 -1.71 1.08 0.55 1.68 0.03
## 5 1969-05-31 -7.31 -5.99 -6.93 -9.89 -0.15 -4.00 -5.49 -5.04 -5.73
## 6 1969-06-30 -6.85 -6.98 -5.43 -9.64 -5.40 -4.50 -8.44 -2.73 -2.97
## 7 1969-07-31 4.95 2.74 4.18 6.59 7.01 1.66 8.13 9.30 -1.29
## 8 1969-08-31 0.32 -0.06 -2.07 -9.63 0.20 -4.00 -0.67 2.09 -4.14
## 9 1969-09-30 8.31 3.86 6.68 -1.03 5.79 3.50 6.72 8.98 8.28
## 10 1969-10-31 -2.36 -4.43 -3.41 -4.53 -1.78 1.18 -4.16 0.32 -5.27
## 11 1969-11-30 -1.94 -3.44 -1.43 -3.01 -0.73 -5.51 -3.01 4.30 -0.64
## 12 1969-12-31 -4.24 -8.25 -7.30 -11.45 -9.06 -2.57 -5.88 -7.12 -4.23
## 13 1970-01-31 4.68 5.57 5.14 5.38 2.94 7.96 5.23 5.60 8.36
## 14 1970-02-28 -0.78 4.87 -0.29 -0.45 -2.58 2.29 -1.69 -5.08 2.91
## 15 1970-03-31 -10.12 -8.86 -8.97 -9.17 -14.34 -8.79 -11.08 -10.11 -8.05
## 16 1970-04-30 -7.45 -6.45 -7.51 2.61 -9.55 -3.75 -9.45 -7.78 -5.36
## 17 1970-05-31 -1.47 -4.15 -4.81 -2.47 -11.77 -8.48 -4.02 -0.51 -4.70
## 18 1970-06-30 6.68 10.60 5.11 12.76 2.35 10.26 10.38 2.16 8.70
## 19 1970-07-31 1.45 8.22 4.62 6.54 8.00 2.51 5.34 1.80 4.67
## 20 1970-08-31 5.51 2.68 3.97 3.19 10.17 -0.95 7.94 8.03 -0.52
## 21 1970-09-30 0.70 -2.00 -3.15 2.96 -3.50 -3.75 -1.68 0.26 -0.82
## 22 1970-10-31 4.84 6.96 3.91 4.93 4.05 6.12 6.87 2.96 9.39
## 23 1970-11-30 7.43 6.16 8.01 2.26 4.40 6.85 5.40 5.37 7.17
## 24 1970-12-31 4.86 3.87 5.85 0.34 5.39 9.77 8.30 4.94 2.93
## 25 1971-01-31 3.77 2.24 1.25 4.79 2.80 -5.30 3.64 1.39 -2.59
## 26 1971-02-28 4.44 3.43 4.09 2.76 8.06 0.71 6.83 3.68 2.41
## 27 1971-03-31 2.17 8.49 4.26 4.31 2.32 0.82 4.96 4.23 -3.54
## 28 1971-04-30 -3.02 -4.26 -2.25 -4.74 -6.14 -5.21 -1.78 -2.10 -3.70
## 29 1971-05-31 -0.13 -0.66 0.39 1.03 -2.18 1.04 0.35 2.02 4.30
## 30 1971-06-30 -2.13 -5.55 -4.88 -2.13 -8.58 -3.61 -3.50 -2.25 -2.13
## 31 1971-07-31 3.10 10.56 6.36 -1.20 5.69 -0.32 6.19 3.27 -2.32
## 32 1971-08-31 -0.07 -0.07 -0.32 -1.64 -1.55 0.23 0.73 0.66 -1.50
## 33 1971-09-30 -4.32 -5.20 -6.03 -4.28 -4.35 -1.74 -3.44 -2.50 2.05
## 34 1971-10-31 -0.35 0.33 -0.99 0.06 1.77 0.38 0.24 0.58 -1.21
## 35 1971-11-30 10.53 6.13 9.86 8.84 11.27 7.36 10.16 7.90 8.10
## 36 1971-12-31 2.50 3.23 3.22 0.16 8.35 0.94 0.44 2.60 -0.30
## 37 1972-01-31 4.64 0.84 4.98 2.61 1.89 0.16 5.65 7.13 -2.50
## 38 1972-02-29 0.09 4.23 2.49 -5.46 1.09 -0.32 1.98 0.46 -0.15
## 39 1972-03-31 1.92 -0.53 1.97 -0.69 0.76 -1.05 -0.56 1.08 -2.81
## 40 1972-04-30 0.41 -1.00 1.90 3.65 3.73 1.19 1.58 3.52 -0.17
## 41 1972-05-31 -1.14 -2.88 -2.25 -0.91 -2.53 -2.74 -4.03 2.51 -1.55
## 42 1972-06-30 -1.58 -2.13 0.49 -1.07 0.97 0.75 -2.46 3.13 0.04
## 43 1972-07-31 -0.11 3.78 2.29 12.38 2.84 5.16 -0.41 1.05 5.96
## 44 1972-08-31 -2.62 -0.89 -1.22 -0.24 -1.15 4.31 -0.50 -0.44 0.19
## 45 1972-09-30 0.00 -2.44 1.15 3.10 -3.34 2.30 0.88 1.51 6.75
## 46 1972-10-31 6.88 7.93 4.18 6.19 2.52 7.10 6.02 -0.56 6.40
## 47 1972-11-30 0.53 1.64 0.93 1.05 1.98 1.45 1.73 3.74 -1.54
## 48 1972-12-31 -4.75 -6.70 -3.70 5.03 1.96 -2.12 -4.09 -1.19 -4.28
## 49 1973-01-31 -4.36 -5.85 -2.29 -7.35 -3.00 -4.62 -6.45 -0.71 -1.97
## 50 1973-02-28 -1.06 -2.82 -0.22 3.05 -1.20 0.54 -5.64 0.78 -2.15
## 51 1973-03-31 -6.19 -5.19 -4.40 -0.98 -6.65 0.88 -8.50 -5.49 -0.60
## 52 1973-04-30 -2.12 -4.19 -1.14 -3.53 -2.60 -0.82 -2.21 1.07 0.36
## 53 1973-05-31 -3.43 -2.53 -0.35 1.63 -0.05 -0.32 -5.75 0.00 -2.49
## 54 1973-06-30 7.44 7.27 6.64 0.30 4.95 -0.32 11.16 6.87 -2.39
## 55 1973-07-31 -3.33 -3.95 -1.47 -3.79 -3.69 -3.91 -4.16 -6.89 -2.10
## 56 1973-08-31 5.90 7.81 4.56 9.21 -2.84 7.65 7.20 0.78 7.90
## 57 1973-09-30 -2.25 -4.34 0.44 5.17 3.91 -5.54 -3.66 1.83 -3.39
## 58 1973-10-31 -14.31 -16.10 -14.25 -6.19 -11.43 -1.90 -18.92 -7.75 -11.60
## 59 1973-11-30 -1.55 -3.76 1.28 8.67 -4.32 4.55 -0.22 -4.47 3.42
## 60 1973-12-31 2.43 6.09 0.41 -7.46 1.24 2.00 6.71 -2.56 4.55
## 61 1974-01-31 0.07 -1.08 0.01 -1.55 -0.60 4.75 0.80 -1.23 0.29
## 62 1974-02-28 -1.89 -0.09 -0.76 -3.24 -2.71 -4.59 -3.12 1.22 -3.64
## 63 1974-03-31 -3.69 -4.09 -2.04 -6.31 -3.63 -5.31 -1.97 -1.48 -12.19
## 64 1974-04-30 -2.88 0.42 -2.53 -7.47 -4.20 -1.52 1.21 -0.11 -4.90
## 65 1974-05-31 -0.56 -2.63 -0.41 -0.30 -2.94 0.30 -2.72 -1.61 -6.18
## 66 1974-06-30 -10.15 -11.86 -7.16 -0.52 -8.22 -7.63 -12.81 -14.15 0.77
## 67 1974-07-31 -10.16 -6.62 -10.13 -8.56 -4.90 -0.01 -13.05 -8.04 -8.62
## 68 1974-08-31 -12.18 -12.92 -12.85 -7.95 -16.90 -3.80 -12.28 -15.56 -1.31
## 69 1974-09-30 15.66 4.48 16.04 20.78 14.72 10.85 10.01 29.58 13.01
## 70 1974-10-31 -3.85 -4.69 -5.92 -4.24 -4.94 -3.09 -5.74 -1.22 -0.13
## 71 1974-11-30 -0.56 -4.08 -4.45 0.83 -5.25 1.57 -3.36 -3.32 -0.81
## 72 1974-12-31 18.71 21.50 14.51 6.77 15.30 11.09 25.92 -0.74 18.80
## 73 1975-01-31 4.04 4.93 8.00 2.26 13.14 5.16 5.16 16.04 0.90
## 74 1975-02-28 7.14 6.62 5.06 -2.32 0.99 -0.86 10.76 1.29 -1.32
## 75 1975-03-31 3.01 4.12 9.56 7.25 5.57 -0.96 2.59 0.65 -1.61
## 76 1975-04-30 5.22 2.57 2.78 12.35 5.92 3.52 4.00 6.52 8.52
## 77 1975-05-31 5.25 10.23 3.56 6.25 2.29 4.04 7.45 0.95 10.71
## 78 1975-06-30 -5.38 -2.03 -5.91 -4.24 -9.42 -4.21 -7.46 -12.03 -4.78
## 79 1975-07-31 -3.14 -3.47 -0.80 -0.89 -2.97 -3.56 -0.39 -3.32 -1.24
## 80 1975-08-31 -2.44 -2.46 -5.80 -1.16 -0.85 -1.26 -3.49 -6.53 -0.99
## 81 1975-09-30 10.59 8.82 5.67 -1.33 8.40 6.82 9.92 10.68 6.58
## 82 1975-10-31 4.09 3.35 3.01 -1.64 5.03 4.26 4.66 5.13 3.15
## 83 1975-11-30 -1.51 -0.44 -1.32 0.09 -1.25 -0.11 -3.04 -6.36 1.34
## 84 1975-12-31 10.92 15.62 16.85 8.46 18.26 9.49 8.98 7.73 8.30
## 85 1976-01-31 -1.07 3.88 1.73 -3.11 1.16 3.57 4.68 -6.53 -3.52
## 86 1976-02-29 0.73 3.53 1.14 7.22 2.93 0.58 3.46 6.53 1.44
## 87 1976-03-31 -1.67 1.84 -1.42 2.15 -3.41 1.72 -4.67 -4.30 0.63
## 88 1976-04-30 -2.15 -3.11 -1.23 5.51 0.49 -2.94 -5.77 -2.81 -1.46
## 89 1976-05-31 3.62 4.22 3.70 5.09 8.20 3.58 1.52 3.67 4.25
## 90 1976-06-30 1.48 -1.06 -1.85 -0.62 -2.20 1.25 -2.33 -0.38 2.82
## 91 1976-07-31 -0.31 -1.44 -1.68 -0.86 -0.83 4.74 2.89 2.17 2.96
## 92 1976-08-31 1.55 4.49 1.08 5.91 2.90 1.59 0.43 3.62 4.08
## 93 1976-09-30 -1.62 -1.15 -3.27 -2.42 -4.50 1.29 -0.89 -3.74 -0.81
## 94 1976-10-31 1.74 -0.71 -0.38 0.82 1.64 3.14 4.84 -9.71 3.14
## 95 1976-11-30 5.22 9.67 5.85 6.33 3.85 3.44 2.33 6.26 6.49
## 96 1976-12-31 -4.09 -4.20 -6.01 0.29 -3.87 0.11 -7.15 -8.84 0.84
## 97 1977-01-31 -1.39 -3.49 -0.63 -3.01 -0.63 0.99 -1.83 -0.21 -3.40
## 98 1977-02-28 -1.39 -3.34 -0.34 -2.08 -0.03 -1.03 -2.76 -1.79 0.19
## 99 1977-03-31 0.53 3.16 0.58 2.53 -3.46 0.66 -3.43 -5.21 1.94
## 100 1977-04-30 -0.94 -0.49 -2.96 -0.41 -1.49 1.44 -2.76 -1.88 1.68
## 101 1977-05-31 4.53 4.29 3.40 6.09 7.77 1.93 6.06 9.03 5.70
## 102 1977-06-30 1.22 -2.44 -3.62 -1.80 -0.16 -0.86 -0.18 -2.24 0.87
## 103 1977-07-31 0.11 -0.85 -1.26 -5.77 0.50 -2.26 4.62 3.83 -3.23
## 104 1977-08-31 0.25 1.55 -0.98 0.73 -1.78 3.48 -0.71 -0.89 2.01
## 105 1977-09-30 -3.35 -4.46 -4.58 -3.55 -3.22 -5.05 -3.17 -1.75 -3.14
## 106 1977-10-31 4.59 1.95 4.33 3.45 5.25 2.18 5.58 6.08 4.28
## 107 1977-11-30 0.00 -0.75 0.73 1.89 2.39 2.15 -1.25 0.62 -0.33
## 108 1977-12-31 -5.30 -6.86 -6.05 -6.93 -4.75 -4.16 -6.84 -1.92 -4.53
## 109 1978-01-31 0.12 0.39 -2.62 -1.08 -3.45 4.13 -0.43 -3.00 -0.41
## 110 1978-02-28 4.17 6.09 3.90 2.06 -0.61 2.62 2.86 4.17 2.47
## 111 1978-03-31 6.92 9.62 11.46 6.71 13.30 2.93 10.84 9.25 0.18
## 112 1978-04-30 4.22 0.20 4.12 0.89 1.67 -0.39 1.25 5.17 0.71
## 113 1978-05-31 -0.26 -2.81 -1.47 -3.74 -0.35 -1.53 -1.97 1.14 0.84
## 114 1978-06-30 3.53 4.71 7.84 3.34 8.58 1.42 5.14 8.86 2.83
## 115 1978-07-31 4.14 2.98 3.94 5.09 6.01 3.55 5.71 0.99 0.46
## 116 1978-08-31 -0.38 -0.50 -2.10 4.77 -4.15 1.22 -2.66 -2.75 -0.24
## 117 1978-09-30 -11.58 -11.17 -11.33 -10.61 -10.83 -4.47 -14.14 -12.84 -7.07
## 118 1978-10-31 2.14 0.73 2.86 6.17 5.09 2.99 2.59 5.19 3.00
## 119 1978-11-30 1.70 -0.61 1.44 2.81 6.42 0.09 -0.60 3.41 -1.23
## 120 1978-12-31 4.20 5.08 6.53 3.12 4.30 3.66 5.75 1.42 6.36
## 121 1979-01-31 -3.51 -3.59 -4.49 0.63 -3.32 -0.63 -4.42 -4.52 -1.63
## 122 1979-02-28 4.13 6.61 7.35 9.36 7.61 0.16 6.15 5.04 2.33
## 123 1979-03-31 0.20 2.95 -0.46 4.33 0.32 -2.15 0.87 0.43 -2.74
## 124 1979-04-30 -1.77 -0.71 -2.29 -2.43 -1.96 0.10 -2.43 -2.64 1.43
## 125 1979-05-31 3.31 3.01 3.50 9.26 0.50 1.92 2.86 4.83 4.97
## 126 1979-06-30 2.03 2.06 2.03 1.58 -1.51 -0.11 1.18 0.15 2.08
## 127 1979-07-31 7.55 4.70 7.72 7.89 5.93 1.53 8.89 8.56 2.04
## 128 1979-08-31 -1.87 0.42 -0.72 5.92 -1.75 -2.39 -0.76 -0.55 -2.17
## 129 1979-09-30 -7.66 -9.40 -8.84 -2.55 -7.73 -5.05 -8.90 -4.34 -5.80
## 130 1979-10-31 5.14 -2.20 4.73 8.90 8.16 4.02 3.84 8.77 7.74
## 131 1979-11-30 3.38 3.37 4.46 2.48 1.80 -1.53 3.07 2.08 -0.99
## 132 1979-12-31 3.12 9.09 7.07 14.22 7.36 -2.06 1.31 -1.29 1.56
## 133 1980-01-31 -4.85 -6.30 -2.50 12.94 -3.55 -1.48 -4.85 -4.63 -3.39
## 134 1980-02-29 -8.13 -8.79 -11.76 -17.89 -12.66 -2.62 -8.64 -2.82 -6.59
## 135 1980-03-31 6.49 -1.77 3.21 6.86 0.72 7.32 3.36 4.29 12.00
## 136 1980-04-30 7.94 4.33 6.23 4.09 4.82 5.00 10.73 6.96 4.59
## 137 1980-05-31 2.99 2.79 2.34 5.83 3.03 -0.58 2.41 0.22 4.54
## 138 1980-06-30 7.76 11.74 10.84 2.01 15.48 1.00 10.83 8.88 -0.10
## 139 1980-07-31 1.43 1.49 1.58 3.66 3.66 6.30 1.86 0.27 -1.17
## 140 1980-08-31 0.27 0.98 2.85 6.52 1.99 -1.61 1.28 3.62 0.15
## 141 1980-09-30 0.29 -1.72 0.43 7.74 1.97 -3.25 -1.15 -1.24 1.94
## 142 1980-10-31 0.91 4.92 8.40 24.29 9.84 0.00 2.60 8.86 7.38
## 143 1980-11-30 1.01 -1.09 -2.07 -10.59 -1.17 0.83 -1.37 4.59 -1.95
## 144 1980-12-31 2.01 -2.24 -1.96 -10.15 -8.09 5.54 0.47 -1.61 -2.57
## 145 1981-01-31 2.48 6.44 4.36 -0.44 0.47 2.15 2.70 1.85 -1.27
## 146 1981-02-28 6.92 6.99 5.97 -2.26 4.99 1.17 12.72 5.90 2.98
## 147 1981-03-31 1.16 1.88 -0.94 -7.54 0.17 6.21 3.10 3.03 -2.68
## 148 1981-04-30 2.66 2.86 -0.37 -3.87 4.23 7.14 2.82 3.44 1.82
## 149 1981-05-31 -0.21 -4.28 -1.31 4.70 -6.72 -1.92 -1.42 -5.58 3.44
## 150 1981-06-30 -0.64 -2.91 -2.87 7.93 -3.79 0.37 -3.40 -3.90 2.80
## 151 1981-07-31 -5.07 -7.90 -6.89 -6.28 -7.30 -0.81 -5.60 -7.73 -0.83
## 152 1981-08-31 -2.18 -2.97 -7.15 -12.28 -3.90 2.84 -3.64 -1.28 -5.53
## 153 1981-09-30 7.41 -4.15 3.68 9.92 5.21 6.02 6.77 7.95 4.88
## 154 1981-10-31 2.65 4.85 4.52 6.90 1.50 2.70 1.07 3.92 5.92
## 155 1981-11-30 -1.81 0.48 -1.66 -6.54 -0.03 -1.45 -1.94 -0.73 -2.33
## 156 1981-12-31 -0.92 1.17 -3.31 -8.46 2.73 0.68 0.12 1.43 -0.67
## 157 1982-01-31 -1.97 -2.04 -5.62 -11.09 -5.30 -5.68 -1.36 -1.80 -0.36
## 158 1982-02-28 2.45 3.49 -1.78 -3.65 -3.59 2.05 4.22 -2.55 1.66
## 159 1982-03-31 6.67 4.44 3.24 4.34 7.44 -0.18 5.41 7.39 3.84
## 160 1982-04-30 -3.26 -1.93 -4.71 2.31 -5.41 -1.02 -2.72 -3.03 -0.52
## 161 1982-05-31 1.67 2.65 -2.58 -6.25 -2.38 -2.45 2.67 -0.75 -2.21
## 162 1982-06-30 -0.46 -0.33 -2.32 -7.91 1.52 1.20 0.21 0.79 -2.57
## 163 1982-07-31 9.17 13.74 13.97 9.69 12.79 10.84 12.58 12.37 12.00
## 164 1982-08-31 5.25 -0.73 -1.08 1.77 1.17 0.99 4.75 1.36 1.06
## 165 1982-09-30 10.58 16.55 13.06 5.58 16.98 8.12 16.87 8.20 4.73
## 166 1982-10-31 5.17 8.24 5.79 -4.40 10.68 5.95 11.18 5.20 0.16
## 167 1982-11-30 0.97 3.03 0.73 5.54 2.65 -1.23 -2.09 0.58 4.32
## 168 1982-12-31 -1.01 5.17 5.02 3.62 8.38 12.44 1.29 1.42 3.67
## 169 1983-01-31 3.80 3.63 4.10 -0.59 3.59 -0.36 7.90 2.84 1.59
## 170 1983-02-28 7.47 -1.14 2.10 5.97 0.67 0.64 8.51 4.52 0.27
## 171 1983-03-31 6.19 10.88 6.33 9.38 7.49 5.14 8.57 5.05 4.76
## 172 1983-04-30 -0.95 -2.07 1.99 1.35 2.82 -1.31 0.48 -2.73 2.60
## 173 1983-05-31 3.00 10.41 1.59 6.41 6.13 0.17 6.11 6.91 -0.54
## 174 1983-06-30 -2.65 -3.90 -2.58 -2.26 -5.36 -5.17 -3.27 -5.68 1.03
## 175 1983-07-31 0.71 -2.38 0.62 6.83 -1.10 2.20 -4.73 -1.01 1.52
## 176 1983-08-31 4.66 4.39 2.26 -4.63 2.15 2.26 2.18 1.30 4.66
## 177 1983-09-30 -0.21 0.04 -2.29 -2.05 -6.94 -5.20 -1.76 -2.18 3.07
## 178 1983-10-31 2.30 4.23 6.46 -0.43 2.34 3.17 4.46 -3.01 -1.61
## 179 1983-11-30 -0.48 0.92 -1.12 2.10 0.36 -1.54 -4.71 -3.58 -3.69
## 180 1983-12-31 -0.70 -5.38 -3.50 10.11 -6.20 4.09 -5.88 -0.62 1.45
## 181 1984-01-31 -5.72 -6.09 -6.60 3.87 -5.93 -3.68 -4.45 -2.02 -3.33
## 182 1984-02-29 1.62 0.35 3.29 0.26 1.79 -4.24 1.21 -0.67 -0.29
## 183 1984-03-31 0.57 1.32 -0.13 3.98 -0.43 2.18 0.31 2.32 -0.48
## 184 1984-04-30 -2.41 -5.77 -5.78 -5.04 -5.56 -3.50 -5.16 -6.45 -0.80
## 185 1984-05-31 6.33 2.11 3.19 -2.18 1.76 12.28 7.42 3.86 0.45
## 186 1984-06-30 -1.61 2.53 -1.47 -7.46 -2.45 2.81 0.12 -3.76 -0.01
## 187 1984-07-31 8.71 10.01 11.89 13.97 13.95 6.72 9.87 10.43 7.76
## 188 1984-08-31 1.26 -0.20 -2.55 2.24 -3.99 2.90 0.09 -4.42 4.82
## 189 1984-09-30 1.38 2.15 0.57 -4.47 -0.50 -0.81 -0.74 1.65 3.34
## 190 1984-10-31 0.38 -3.02 -1.34 -1.02 -3.83 -0.24 -2.92 -0.08 3.06
## 191 1984-11-30 2.50 4.61 2.15 -0.54 2.54 5.10 0.77 2.74 2.63
## 192 1984-12-31 4.90 9.84 8.47 6.54 12.60 5.85 13.19 8.31 2.39
## 193 1985-01-31 5.08 -1.57 1.34 3.87 -1.33 2.69 2.10 3.59 1.38
## 194 1985-02-28 4.63 -5.26 -2.78 1.45 -6.02 5.47 -0.61 3.07 6.10
## 195 1985-03-31 -2.12 -3.45 -1.49 3.81 -3.64 0.90 0.09 -1.76 1.61
## 196 1985-04-30 8.00 5.93 6.09 0.75 2.83 6.63 9.62 9.45 5.45
## 197 1985-05-31 2.76 1.50 1.50 -0.76 -0.71 4.09 1.61 2.29 3.63
## 198 1985-06-30 -2.62 2.39 3.41 -0.59 4.41 -4.55 -3.98 -0.47 -4.70
## 199 1985-07-31 0.74 -2.64 -1.14 1.55 -2.54 0.54 -0.61 -0.82 1.91
## 200 1985-08-31 -0.64 -3.28 -3.98 -1.30 -4.73 -4.18 -4.34 -3.92 -5.35
## 201 1985-09-30 3.60 0.85 3.28 5.95 3.02 4.08 6.86 3.18 6.32
## 202 1985-10-31 8.56 9.94 7.94 0.34 8.64 7.42 7.99 9.74 4.24
## 203 1985-11-30 5.45 7.18 4.51 -2.75 8.27 6.15 4.55 3.52 4.85
## 204 1985-12-31 1.79 2.15 1.61 -6.76 -0.29 -3.97 1.64 1.06 3.78
## 205 1986-01-31 10.82 10.90 10.22 0.80 4.97 7.40 7.81 6.13 6.57
## 206 1986-02-28 8.11 7.86 6.02 0.95 -0.08 3.85 8.57 12.05 3.96
## 207 1986-03-31 0.42 -3.51 -1.74 0.76 3.93 2.44 0.40 0.70 -3.97
## 208 1986-04-30 8.88 3.15 4.40 7.33 0.95 4.85 9.85 7.29 3.63
## 209 1986-05-31 6.30 -1.29 -0.03 -2.05 -3.98 5.38 3.84 5.64 5.04
## 210 1986-06-30 -5.74 -9.09 -7.51 -5.11 -8.34 -3.00 -9.54 -5.35 5.15
## 211 1986-07-31 2.58 7.49 6.45 16.64 6.99 6.83 1.67 4.00 7.90
## 212 1986-08-31 -10.84 -8.15 -6.54 -0.88 -7.09 -9.42 -8.44 -12.59 -9.09
## 213 1986-09-30 8.90 6.47 6.54 1.91 0.58 4.63 7.36 7.99 5.25
## 214 1986-10-31 0.72 4.85 2.49 3.23 3.55 3.98 1.76 1.35 0.55
## 215 1986-11-30 -3.22 -2.22 -1.97 -0.45 -3.67 -3.70 -6.25 -1.23 -3.29
## 216 1986-12-31 14.56 18.71 14.45 14.16 16.53 5.30 11.80 13.16 9.30
## 217 1987-01-31 5.61 3.46 4.82 -1.72 9.43 0.03 9.80 11.26 -2.14
## 218 1987-02-28 1.14 4.65 3.48 11.82 2.62 1.40 1.70 0.15 -1.67
## 219 1987-03-31 -3.68 4.04 -1.62 0.12 4.39 -2.45 -2.70 -2.45 -4.33
## 220 1987-04-30 2.64 -1.49 0.34 3.06 0.30 3.34 -0.06 1.25 -1.84
## 221 1987-05-31 6.78 2.88 5.18 6.00 -0.03 7.04 6.26 4.78 3.40
## 222 1987-06-30 5.73 6.98 7.10 3.19 1.00 5.84 5.74 5.78 -1.67
## 223 1987-07-31 3.68 5.69 2.85 1.92 7.45 5.15 3.34 2.21 3.70
## 224 1987-08-31 -2.82 -3.97 0.29 -3.86 -2.69 3.30 -6.38 -2.57 -2.31
## 225 1987-09-30 -21.02 -26.92 -27.34 -18.45 -25.92 -12.26 -28.07 -20.45 -6.92
## 226 1987-10-31 -8.03 -8.51 -5.17 -10.56 -9.83 -8.89 -8.46 -9.30 -2.51
## 227 1987-11-30 7.57 8.60 10.86 6.76 11.93 3.92 8.54 5.36 0.55
## 228 1987-12-31 3.02 4.43 0.28 8.42 -2.49 9.98 5.61 6.37 9.77
## 229 1988-01-31 6.04 6.28 7.73 3.58 7.45 1.24 10.26 4.19 -1.42
## 230 1988-02-29 -1.53 -4.20 -1.34 2.62 -4.68 -3.97 -1.13 -2.56 -3.18
## 231 1988-03-31 -0.15 2.93 1.61 4.62 2.62 0.72 1.60 -2.00 -0.29
## 232 1988-04-30 -0.29 1.24 -0.42 -0.42 -1.33 2.34 -1.41 -0.25 3.58
## 233 1988-05-31 3.40 8.27 7.59 -2.08 9.45 2.89 6.56 2.67 3.22
## 234 1988-06-30 1.67 -0.84 -2.34 3.59 -5.11 0.16 -0.83 0.55 -0.22
## 235 1988-07-31 -0.15 -6.66 -4.43 -1.48 -8.20 -2.90 -2.61 -1.06 -0.12
## 236 1988-08-31 6.54 3.91 3.43 -2.48 2.84 7.06 8.29 3.80 2.67
## 237 1988-09-30 8.07 3.35 0.74 1.89 -0.02 2.96 1.60 1.20 2.52
## 238 1988-10-31 -1.16 -0.96 -2.17 -0.30 -3.15 0.05 -2.77 -2.15 -0.48
## 239 1988-11-30 3.52 0.30 3.13 1.84 4.88 1.25 1.58 1.81 1.04
## 240 1988-12-31 5.65 7.60 7.50 6.26 7.12 8.34 6.27 6.79 2.74
## 241 1989-01-31 -1.44 -2.96 -2.10 -1.29 -3.76 -1.37 -1.85 -1.16 -1.82
## 242 1989-02-28 5.52 -1.35 1.19 3.89 -5.50 5.21 2.76 4.93 0.54
## 243 1989-03-31 5.67 0.49 5.38 2.49 5.17 9.68 5.54 5.42 3.94
## 244 1989-04-30 5.32 2.31 3.62 2.67 2.47 5.88 5.34 3.41 5.37
## 245 1989-05-31 1.50 1.30 -2.68 -1.01 -3.29 0.19 -2.16 -2.75 3.38
## 246 1989-06-30 11.97 5.23 7.62 3.78 2.96 9.09 9.16 13.90 5.80
## 247 1989-07-31 -1.97 5.17 4.38 3.52 2.52 0.80 2.58 0.39 -0.80
## 248 1989-08-31 -0.58 -4.50 -2.59 1.35 -2.68 4.03 -2.33 2.42 0.48
## 249 1989-09-30 -2.45 -5.71 -4.38 0.75 -4.43 -1.96 -4.04 0.38 1.00
## 250 1989-10-31 1.68 -1.09 3.07 3.98 -1.79 2.11 1.25 4.57 3.23
## 251 1989-11-30 1.38 -1.45 2.98 6.01 -1.12 5.84 1.18 1.04 4.79
## 252 1989-12-31 -9.47 -3.87 -6.34 -4.29 -1.29 -13.03 -6.38 -7.31 -5.34
## 253 1990-01-31 -0.54 5.04 2.55 3.11 4.11 -0.26 1.91 -2.08 0.21
## 254 1990-02-28 4.64 2.88 3.90 -0.57 4.46 4.25 5.13 3.84 -0.75
## 255 1990-03-31 -0.18 -4.06 -2.76 -3.56 -2.02 -3.27 -2.06 0.30 -5.50
## 256 1990-04-30 9.07 7.72 8.08 6.02 12.58 9.20 11.58 12.80 5.43
## 257 1990-05-31 2.08 -2.19 -0.59 -2.04 -1.17 -4.73 1.54 4.42 0.75
## 258 1990-06-30 -0.81 -3.43 0.17 8.28 -7.35 -4.41 -4.11 2.58 0.89
## 259 1990-07-31 -7.36 -14.27 -12.06 -1.28 -12.00 -10.43 -12.07 -6.78 -6.62
## 260 1990-08-31 -4.07 -10.57 -8.00 -1.61 -6.64 1.81 -8.73 -4.37 0.48
## 261 1990-09-30 2.50 -3.25 -1.84 -4.02 -3.40 3.01 -3.04 1.41 7.23
## 262 1990-10-31 6.56 4.13 7.38 1.63 11.27 2.11 10.42 9.49 2.29
## 263 1990-11-30 4.39 -0.42 4.88 -2.02 4.12 1.50 3.36 2.79 0.78
## 264 1990-12-31 5.12 7.32 6.37 -2.05 15.02 0.02 9.30 4.55 -1.37
## 265 1991-01-31 10.30 10.24 5.87 8.55 6.61 3.25 8.33 9.90 4.84
## 266 1991-02-28 4.80 1.18 1.37 1.30 1.30 2.14 8.61 5.44 1.71
## 267 1991-03-31 -1.00 -2.29 0.54 2.46 -2.88 1.13 1.99 -1.14 -0.04
## 268 1991-04-30 3.60 14.75 7.55 -1.40 3.52 -1.47 7.72 4.70 0.15
## 269 1991-05-31 -4.94 -4.47 -4.27 -3.64 -8.78 -1.50 -4.29 -4.21 -2.37
## 270 1991-06-30 5.76 -0.44 3.12 5.03 4.66 3.11 5.31 8.51 3.99
## 271 1991-07-31 5.47 -2.16 1.86 1.62 2.84 0.67 3.60 2.94 3.51
## 272 1991-08-31 -3.24 -2.66 -2.33 -0.68 -1.34 0.37 -3.18 -0.33 3.71
## 273 1991-09-30 -0.55 -2.01 1.46 2.05 2.00 1.90 -1.95 6.53 1.25
## 274 1991-10-31 -0.42 -7.99 -5.55 -7.69 -4.39 -4.75 -1.17 -2.52 1.89
## 275 1991-11-30 14.73 7.61 11.57 2.11 9.16 9.92 13.03 16.61 4.99
## 276 1991-12-31 -3.10 10.50 2.32 -4.12 6.70 -2.87 0.27 -5.45 -4.57
## 277 1992-01-31 1.05 12.32 2.19 -0.53 3.86 -1.45 2.63 -2.73 -1.24
## 278 1992-02-29 -1.51 0.80 -1.16 -2.75 -5.18 -0.83 -1.38 -5.53 -0.53
## 279 1992-03-31 0.75 7.92 3.04 9.45 -1.03 7.04 -3.50 -2.30 2.69
## 280 1992-04-30 1.31 -1.92 -0.62 3.18 0.02 -2.46 0.24 1.11 2.54
## 281 1992-05-31 -2.80 2.18 -3.25 -3.50 -4.16 1.32 -1.89 -4.78 0.54
## 282 1992-06-30 4.67 0.28 2.93 5.31 2.96 5.44 3.79 5.80 6.72
## 283 1992-07-31 0.87 -9.60 -3.52 2.59 -4.52 -0.97 -0.54 -3.36 -0.47
## 284 1992-08-31 1.06 0.09 1.79 0.13 3.40 1.91 4.10 -4.98 0.83
## 285 1992-09-30 -0.82 -0.01 0.94 -3.47 2.12 -0.54 4.38 3.34 -0.43
## 286 1992-10-31 3.62 8.56 3.93 -2.69 6.37 3.88 7.09 4.84 -0.23
## 287 1992-11-30 0.05 3.36 1.40 1.92 0.01 5.65 0.65 -1.35 2.70
## 288 1992-12-31 -0.80 9.59 0.13 2.77 4.86 1.33 0.07 -6.86 2.45
## 289 1993-01-31 -2.14 -0.29 1.73 5.99 -0.33 5.71 -1.47 -9.00 6.22
## 290 1993-02-28 0.00 5.40 2.18 4.11 2.23 3.27 2.77 0.73 1.76
## 291 1993-03-31 -9.32 2.43 0.04 1.14 -3.75 -2.87 -8.14 1.29 -0.15
## 292 1993-04-30 2.67 1.08 2.34 1.77 8.81 4.16 5.92 3.59 -0.04
## 293 1993-05-31 -0.69 3.45 -0.26 -1.16 -0.41 4.64 -2.86 -2.96 3.18
## 294 1993-06-30 -2.36 1.51 -0.09 0.48 -3.87 2.14 0.73 -5.99 1.94
## 295 1993-07-31 4.29 0.46 3.46 4.23 6.45 5.24 3.93 3.02 3.69
## 296 1993-08-31 -1.83 1.01 -1.89 1.36 1.32 -0.49 -0.35 0.86 -0.64
## 297 1993-09-30 6.06 7.70 3.09 -1.95 1.62 2.41 4.77 5.92 -1.96
## 298 1993-10-31 0.68 0.68 1.33 -5.97 -0.05 -5.95 0.58 0.97 -5.52
## 299 1993-11-30 1.47 4.44 3.75 0.61 2.97 -0.53 -1.86 2.33 1.61
## 300 1993-12-31 -0.42 7.16 4.86 4.89 4.69 2.16 1.11 1.81 -1.21
## 301 1994-01-31 -1.27 -4.43 -0.66 -2.94 1.63 -5.50 1.88 -5.60 -4.97
## 302 1994-02-28 -4.02 -6.47 -4.44 -3.59 -3.91 -3.61 -4.85 -6.74 -3.92
## 303 1994-03-31 1.23 -0.59 0.07 4.20 -1.60 1.57 0.23 2.27 2.13
## 304 1994-04-30 -1.35 -2.65 2.03 0.92 2.00 1.63 -1.83 4.28 -5.35
## 305 1994-05-31 -1.89 -3.42 -2.60 -2.70 -5.24 0.62 -2.63 -3.43 -3.12
## 306 1994-06-30 2.95 3.56 4.59 3.24 3.84 3.10 0.97 1.10 5.16
## 307 1994-07-31 6.08 -0.09 4.72 -0.10 9.30 1.08 4.47 10.85 0.66
## 308 1994-08-31 -0.33 -5.08 -1.67 -2.10 -0.42 -1.23 -2.34 1.72 -2.77
## 309 1994-09-30 2.19 -1.74 0.60 7.40 7.29 -0.12 1.31 0.88 1.57
## 310 1994-10-31 -1.67 -5.06 -5.45 -4.85 -2.11 -5.44 -3.42 0.44 0.27
## 311 1994-11-30 1.33 3.88 4.01 -1.01 2.45 0.88 -2.77 0.57 0.35
## 312 1994-12-31 1.81 -5.77 -0.40 0.37 -0.81 4.16 1.56 6.18 6.21
## 313 1995-01-31 2.98 5.13 5.60 4.48 6.75 1.51 2.67 2.26 0.82
## 314 1995-02-28 2.75 1.43 3.49 5.28 4.55 0.25 3.62 2.80 -1.75
## 315 1995-03-31 1.90 1.45 2.94 2.24 8.26 1.62 -1.71 3.00 2.38
## 316 1995-04-30 4.78 4.78 3.18 4.09 3.03 0.93 2.65 1.63 6.02
## 317 1995-05-31 1.68 0.75 2.11 -3.08 9.89 3.89 4.93 4.50 -0.45
## 318 1995-06-30 1.16 2.64 3.57 2.30 7.90 5.04 3.58 5.52 -0.37
## 319 1995-07-31 0.65 0.76 -0.21 -1.58 -0.06 4.40 -2.72 1.04 0.99
## 320 1995-08-31 6.74 -0.52 2.15 1.30 1.38 5.77 2.87 7.37 6.27
## 321 1995-09-30 0.56 -4.79 -2.64 -0.28 1.39 0.15 -5.49 1.04 1.48
## 322 1995-10-31 4.52 5.42 6.46 4.77 -0.65 2.80 6.16 4.99 1.58
## 323 1995-11-30 1.52 3.16 1.42 5.81 -4.32 4.13 -0.83 5.92 5.09
## 324 1995-12-31 2.62 3.51 3.29 -0.41 1.84 2.31 -0.30 6.02 1.86
## 325 1996-01-31 3.22 2.00 0.94 1.04 6.45 -2.50 4.41 -1.10 -2.65
## 326 1996-02-29 -0.84 4.33 3.42 5.01 -3.41 -2.01 5.99 0.24 -0.51
## 327 1996-03-31 0.15 3.53 1.71 3.44 10.09 2.86 4.26 -0.61 -2.66
## 328 1996-04-30 6.55 2.24 2.30 0.45 3.95 -0.02 4.40 3.89 1.32
## 329 1996-05-31 3.18 -4.93 -0.44 0.97 -4.94 0.55 -1.71 -0.24 5.25
## 330 1996-06-30 -4.07 -4.50 -4.00 -4.64 -7.42 -8.49 -7.56 -6.28 -5.81
## 331 1996-07-31 -0.80 3.07 3.25 2.94 4.39 -1.33 5.94 4.32 2.89
## 332 1996-08-31 3.73 1.26 6.07 4.04 10.64 1.77 3.66 7.36 0.68
## 333 1996-09-30 1.58 3.74 1.60 5.97 -1.92 -0.46 -2.24 -0.85 3.60
## 334 1996-10-31 5.13 5.87 6.06 5.53 11.91 5.49 3.18 6.61 2.61
## 335 1996-11-30 0.50 -2.41 -0.40 0.80 -2.70 2.90 -3.52 -2.59 0.13
## 336 1996-12-31 5.74 2.84 4.19 4.38 9.35 2.33 0.15 9.54 0.92
## 337 1997-01-31 4.13 0.56 0.70 -5.74 -7.40 2.57 3.00 0.93 -0.57
## 338 1997-02-28 -5.23 -3.23 -3.65 5.27 -5.67 -7.85 -1.33 -7.48 -2.78
## 339 1997-03-31 5.31 3.90 5.40 0.05 7.65 2.57 2.27 6.11 -1.39
## 340 1997-04-30 5.93 6.27 7.82 7.32 10.19 6.56 5.95 6.99 3.79
## 341 1997-05-31 3.57 3.47 5.20 1.31 1.43 3.46 5.07 8.88 3.06
## 342 1997-06-30 3.34 7.42 7.21 7.45 15.98 2.46 7.82 2.10 2.81
## 343 1997-07-31 -6.39 1.28 -5.52 0.32 -1.37 -2.74 -2.55 -6.11 -1.16
## 344 1997-08-31 5.53 5.31 3.35 6.30 3.46 9.70 5.22 6.62 4.64
## 345 1997-09-30 -3.14 -3.28 -5.88 -2.01 -8.29 2.89 -2.12 0.10 0.93
## 346 1997-10-31 6.50 -1.59 4.23 -3.57 1.45 10.69 5.43 2.82 7.14
## 347 1997-11-30 3.77 3.97 -0.15 -1.45 -4.22 4.22 -0.25 3.53 7.94
## 348 1997-12-31 -2.74 0.50 0.70 -5.75 5.28 5.04 0.90 5.68 -4.40
## 349 1998-01-31 4.96 12.27 7.14 6.84 10.35 2.41 10.36 5.51 2.63
## 350 1998-02-28 5.90 6.15 4.83 4.78 1.32 10.11 6.54 3.57 6.75
## 351 1998-03-31 -3.24 0.92 1.23 3.78 5.15 -3.20 -0.52 1.91 -2.52
## 352 1998-04-30 1.10 7.07 -2.46 -4.24 -7.01 -1.79 2.18 -2.50 -0.88
## 353 1998-05-31 4.18 1.67 -0.60 -1.36 8.74 3.02 4.97 6.17 2.81
## 354 1998-06-30 -4.14 -1.24 -5.69 -6.73 0.45 3.93 -2.96 -0.26 -5.40
## 355 1998-07-31 -13.10 -18.79 -14.31 -10.41 -17.65 -11.80 -14.24 -12.35 1.96
## 356 1998-08-31 1.25 1.03 0.55 13.04 15.16 10.16 1.47 12.04 8.15
## 357 1998-09-30 10.99 11.04 11.29 1.25 6.27 6.86 10.70 3.87 -1.78
## 358 1998-10-31 6.42 5.32 3.61 0.42 11.67 3.61 9.49 6.19 1.34
## 359 1998-11-30 0.33 3.89 2.36 -1.20 15.20 14.35 9.23 5.00 2.86
## 360 1998-12-31 -3.48 5.20 0.52 -5.57 15.10 8.95 2.24 0.22 -6.24
## 361 1999-01-31 -3.98 -4.61 -2.03 -3.17 -11.48 -2.89 -1.37 0.18 -3.62
## 362 1999-02-28 -2.02 -0.25 4.76 15.41 8.41 -0.96 2.69 2.52 -1.64
## 363 1999-03-31 3.92 9.73 9.38 15.84 2.27 7.74 0.44 -5.53 7.35
## 364 1999-04-30 1.36 -4.61 -3.22 -3.10 -0.76 1.03 -3.07 -2.03 6.72
## 365 1999-05-31 0.27 0.93 4.49 -1.41 11.62 5.82 8.16 4.49 -4.48
## 366 1999-06-30 -2.45 -5.86 -1.20 1.73 -1.71 -1.89 -5.03 -4.43 -0.44
## 367 1999-07-31 -4.59 0.65 -0.53 1.82 5.50 -7.97 -5.94 3.71 0.55
## 368 1999-08-31 -6.83 -8.45 -3.10 -4.02 -0.17 4.08 1.34 -7.07 -4.33
## 369 1999-09-30 6.60 4.35 5.81 -1.49 3.01 8.77 3.18 10.77 2.21
## 370 1999-10-31 -1.10 -2.10 -1.00 3.82 12.71 4.43 4.17 1.51 -7.39
## 371 1999-11-30 -2.63 2.67 10.33 0.84 20.77 2.93 6.68 -5.65 -2.28
## 372 1999-12-31 -4.72 -1.27 -8.69 1.24 -5.25 -3.54 -11.11 7.59 6.03
## 373 2000-01-31 -6.27 -8.27 -3.85 -5.41 18.00 -4.10 -3.93 -2.75 -7.16
## 374 2000-02-29 7.42 10.62 7.49 11.69 4.19 7.67 13.34 0.16 5.94
## 375 2000-03-31 -1.95 8.83 1.42 -1.99 -10.50 -7.62 -4.46 5.26 7.48
## 376 2000-04-30 7.08 -12.51 -1.69 9.38 -10.76 -10.76 -2.84 3.96 3.97
## 377 2000-05-31 2.20 -9.03 -1.23 -5.05 12.61 4.04 -2.23 11.55 -4.72
## 378 2000-06-30 0.72 4.86 -1.48 -2.58 -5.18 -7.46 -1.23 -6.47 4.21
## 379 2000-07-31 -2.08 5.36 7.38 8.74 12.68 -1.39 -2.39 3.46 11.76
## 380 2000-08-31 3.71 -4.31 -5.69 4.51 -14.82 -3.35 2.66 3.71 9.16
## 381 2000-09-30 7.74 2.47 3.51 -2.90 -7.48 -0.24 -1.83 2.08 -1.81
## 382 2000-10-31 2.74 -11.53 -3.13 -2.53 -23.16 -15.46 -1.04 0.75 3.06
## 383 2000-11-30 5.50 -0.18 6.95 7.69 -7.99 -4.57 5.66 3.51 6.60
## 384 2000-12-31 -2.20 13.40 -1.07 -3.37 16.03 14.38 6.43 -8.51 -10.77
## 385 2001-01-31 0.13 -1.16 -3.91 0.04 -26.05 -9.85 -5.36 -0.55 6.16
## 386 2001-02-28 -4.78 -2.87 -6.10 -0.14 -13.86 -5.79 -2.88 -8.57 1.24
## 387 2001-03-31 0.90 8.59 7.47 10.06 18.04 2.70 5.61 4.23 5.53
## 388 2001-04-30 3.39 -1.62 2.19 0.09 -3.21 -1.38 1.61 2.81 0.24
## 389 2001-05-31 -1.53 3.73 -4.63 -7.52 1.40 -3.11 -2.59 -3.07 -6.05
## 390 2001-06-30 -0.17 3.18 0.52 -2.23 -7.53 -0.56 4.58 2.31 -3.83
## 391 2001-07-31 2.47 -11.23 -1.99 -3.52 -12.65 -9.30 -6.98 -3.09 0.52
## 392 2001-08-31 -2.98 -16.96 -12.80 -5.62 -18.98 -1.97 -9.52 -0.60 -6.58
## 393 2001-09-30 1.26 1.00 3.88 4.73 15.73 -9.67 1.57 1.24 1.87
## 394 2001-10-31 2.19 15.48 8.43 -4.07 15.89 5.80 9.82 5.03 -1.54
## 395 2001-11-30 1.92 -0.74 2.62 5.95 -0.64 2.54 4.33 -2.82 4.04
## 396 2001-12-31 1.46 2.94 1.54 -2.88 -0.50 -6.94 2.62 -2.41 -4.34
## 397 2002-01-31 4.27 3.16 4.42 5.46 -13.09 -2.21 -0.15 -0.46 -0.37
## 398 2002-02-28 4.03 6.86 4.97 7.67 6.47 0.12 2.09 0.54 10.28
## 399 2002-03-31 2.47 1.80 -1.44 -4.54 -11.77 -12.96 -1.63 -7.52 -0.41
## 400 2002-04-30 1.25 -0.31 -0.28 -0.77 -3.74 3.20 -1.43 -2.27 -6.91
## 401 2002-05-31 -5.85 -8.10 -3.06 -0.06 -12.13 -14.02 -5.10 -9.68 -5.80
## 402 2002-06-30 -6.62 -12.18 -8.50 -11.83 -9.74 -11.79 -11.43 -2.57 -12.13
## 403 2002-07-31 2.24 0.57 -1.27 0.63 -0.94 0.14 1.85 0.63 3.41
## 404 2002-08-31 -7.67 -10.93 -8.35 -8.11 -16.60 -9.63 -9.43 -5.88 -10.84
## 405 2002-09-30 5.06 -3.09 3.79 3.18 19.40 22.11 5.74 5.67 -0.62
## 406 2002-10-31 -1.09 11.90 6.26 3.01 16.24 11.76 1.89 3.78 1.57
## 407 2002-11-30 -0.25 -7.17 -3.77 0.84 -12.91 -9.44 -6.97 -4.07 3.84
## 408 2002-12-31 -3.94 -3.16 -4.09 -2.50 -1.50 -4.00 -4.77 -0.61 -3.27
## 409 2003-01-31 -2.88 -4.99 -2.26 1.94 1.17 -6.61 -1.22 -1.96 -3.97
## 410 2003-02-28 -2.59 -2.63 1.31 1.50 -0.95 -0.66 4.65 3.79 4.31
## 411 2003-03-31 4.39 14.96 6.38 -0.47 9.18 11.50 8.99 4.39 7.31
## 412 2003-04-30 9.51 2.86 4.65 8.64 9.80 6.29 3.49 3.94 10.12
## 413 2003-05-31 1.64 2.84 0.50 -0.96 0.35 1.91 3.44 4.15 0.74
## 414 2003-06-30 -1.68 6.60 4.98 -2.62 5.62 -1.93 3.29 0.48 -5.15
## 415 2003-07-31 0.30 7.85 4.13 6.18 6.07 1.16 6.74 -2.82 1.92
## 416 2003-08-31 1.13 -4.15 -3.75 -2.18 -0.91 -5.64 -4.54 0.29 3.85
## 417 2003-09-30 5.94 6.99 8.92 1.64 8.28 6.81 9.02 0.87 1.51
## 418 2003-10-31 3.61 3.08 2.07 0.65 1.85 -0.68 0.54 1.83 0.95
## 419 2003-11-30 3.44 12.27 6.73 13.60 2.16 7.64 -2.13 5.65 5.85
## 420 2003-12-31 0.06 -1.18 -0.64 0.23 4.51 1.40 0.45 3.09 1.91
## 421 2004-01-31 4.25 -0.08 1.97 4.53 -2.92 -0.49 6.09 0.90 2.11
## 422 2004-02-29 -0.09 -1.19 -0.30 0.02 -2.51 -2.06 0.29 -3.92 1.14
## 423 2004-03-31 1.42 2.28 -0.14 2.66 -4.89 -0.48 -2.70 3.52 -3.56
## 424 2004-04-30 -1.89 -1.65 1.64 0.58 4.82 -2.95 0.30 -0.41 1.25
## 425 2004-05-31 1.66 5.02 5.33 5.44 2.67 0.82 0.04 -0.50 2.03
## 426 2004-06-30 -5.98 -4.64 -4.05 3.32 -8.51 -1.02 -4.03 -5.92 1.06
## 427 2004-07-31 0.77 -2.23 1.34 -1.39 -4.51 1.17 -1.20 1.64 3.66
## 428 2004-08-31 -2.00 2.30 1.92 8.84 3.47 1.41 2.61 -1.40 1.38
## 429 2004-09-30 2.83 -3.00 -1.43 0.64 5.15 3.46 3.06 -2.44 4.24
## 430 2004-10-31 4.60 7.27 7.22 6.57 5.76 3.61 3.67 0.68 4.89
## 431 2004-11-30 4.79 4.88 2.51 -2.31 3.10 4.29 3.50 5.66 2.49
## 432 2004-12-31 0.21 -7.02 -1.76 3.03 -6.35 -4.21 -1.07 -4.08 1.76
## 433 2005-01-31 0.72 -0.25 4.10 19.41 0.04 -0.30 0.83 2.44 2.36
## 434 2005-02-28 -0.85 -8.00 -1.43 -3.44 -2.53 -0.18 0.04 -0.47 0.61
## 435 2005-03-31 -0.95 -11.09 -4.68 -5.60 -4.47 -2.00 -5.29 3.95 2.13
## 436 2005-04-30 2.34 8.84 2.91 2.07 8.20 1.54 6.43 1.48 1.66
## 437 2005-05-31 -1.68 2.10 -1.16 5.76 -1.64 0.14 2.43 -0.59 5.56
## 438 2005-06-30 2.61 5.41 5.83 6.14 6.16 3.09 5.82 3.72 2.98
## 439 2005-07-31 0.01 -2.87 -1.36 5.70 -0.36 -1.25 -5.62 -0.31 1.25
## 440 2005-08-31 0.13 -5.15 0.84 7.26 0.65 -1.47 -1.80 -1.92 4.38
## 441 2005-09-30 -1.92 -4.38 -2.48 -10.16 -1.78 -2.98 1.56 -3.27 -6.85
## 442 2005-10-31 1.16 2.22 5.33 1.01 6.47 2.63 3.96 1.58 -0.22
## 443 2005-11-30 0.23 -0.64 1.44 0.49 -1.91 -1.66 -0.59 2.39 1.24
## 444 2005-12-31 0.11 5.85 5.18 12.54 4.08 3.82 2.01 2.17 3.03
## 445 2006-01-31 1.27 -0.45 1.03 -8.14 -0.99 3.33 1.41 1.07 0.22
## 446 2006-02-28 1.33 2.75 3.04 4.00 2.86 1.82 2.43 -0.96 -3.64
## 447 2006-03-31 1.17 0.34 4.06 4.67 -1.15 1.68 -1.58 -1.96 1.85
## 448 2006-04-30 1.68 0.68 -3.37 -3.46 -6.90 -0.22 -1.88 -2.18 1.50
## 449 2006-05-31 0.30 1.77 -0.49 2.73 -1.44 2.96 0.29 -0.12 2.41
## 450 2006-06-30 3.50 -3.01 -3.65 5.11 -3.79 2.42 -4.29 4.14 4.83
## 451 2006-07-31 3.08 2.37 2.05 -3.29 7.42 2.28 2.22 2.33 2.28
## 452 2006-08-31 -0.62 4.28 1.89 -3.82 3.57 3.66 5.69 1.53 -2.11
## 453 2006-09-30 2.80 4.98 4.42 5.16 4.05 5.19 3.96 1.71 5.36
## 454 2006-10-31 1.41 1.78 3.54 8.60 3.01 0.63 -1.28 0.06 3.06
## 455 2006-11-30 2.00 -0.77 0.51 -1.93 -0.99 4.33 1.45 0.15 0.73
## 456 2006-12-31 1.52 2.85 3.17 -1.34 2.00 3.00 3.65 3.50 0.51
## 457 2007-01-31 -1.53 -0.48 0.77 -2.11 -2.34 -2.77 -0.59 -2.85 4.14
## 458 2007-02-28 2.62 -1.04 1.61 5.88 0.86 2.32 0.75 -0.25 4.33
## 459 2007-03-31 3.62 6.21 4.41 5.14 4.89 1.74 2.29 6.80 3.94
## 460 2007-04-30 2.89 3.19 4.78 7.13 3.93 7.31 2.36 1.14 1.20
## 461 2007-05-31 -1.06 1.87 -0.68 0.87 0.52 -1.80 -1.97 -3.40 -4.83
## 462 2007-06-30 -4.19 -5.81 -0.01 -1.12 -1.06 -3.10 -5.35 -3.99 -3.72
## 463 2007-07-31 1.83 -1.73 0.67 0.29 2.91 -0.86 1.52 2.27 1.84
## 464 2007-08-31 3.95 1.74 5.44 7.86 4.21 2.05 -0.63 3.53 3.54
## 465 2007-09-30 2.16 1.00 0.98 2.81 6.82 -2.17 1.18 1.54 6.83
## 466 2007-10-31 0.85 -9.02 -2.65 -4.36 -7.53 -6.43 -3.75 0.03 -0.72
## 467 2007-11-30 -1.01 -2.19 1.00 7.68 1.49 -0.25 -2.67 -3.98 0.90
## 468 2007-12-31 -5.20 -5.40 -7.43 -9.08 -12.37 -7.75 -0.49 -4.60 -6.93
## 469 2008-01-31 -0.06 -5.97 0.74 6.87 -3.58 -3.88 -4.65 -0.93 -3.02
## 470 2008-02-29 1.21 -4.13 -0.10 -2.94 0.66 -0.05 1.86 -1.77 0.81
## 471 2008-03-31 -1.08 6.60 5.04 10.70 6.46 4.69 5.01 0.44 6.39
## 472 2008-04-30 3.32 1.36 3.30 4.23 5.68 4.73 1.18 1.63 3.58
## 473 2008-05-31 -7.42 -19.56 -9.25 2.76 -8.83 -10.89 -8.08 -3.01 -0.40
## 474 2008-06-30 2.25 -0.23 -0.28 -15.67 -0.53 -3.18 1.14 6.73 -7.13
## 475 2008-07-31 1.72 1.76 1.42 -0.03 2.39 4.00 5.38 1.80 -0.43
## 476 2008-08-31 -2.93 -9.19 -13.48 -12.10 -12.44 -12.61 -5.77 -5.96 -11.94
## 477 2008-09-30 -13.02 -33.18 -20.75 -16.67 -18.33 -15.56 -15.13 -11.03 -11.12
## 478 2008-10-31 -5.47 -10.30 -7.76 0.22 -10.90 -1.58 -7.69 -7.35 1.23
## 479 2008-11-30 0.86 0.30 1.37 -2.42 2.17 3.46 4.88 6.74 -2.04
## 480 2008-12-31 -5.13 -13.78 -9.14 -3.53 -3.23 -10.28 -7.60 -2.21 -0.82
## 481 2009-01-31 -7.65 -12.27 -13.49 -12.46 -5.06 -6.94 -3.06 -9.95 -12.59
## 482 2009-02-28 6.42 11.95 7.61 3.95 11.50 7.51 9.95 7.06 2.79
## 483 2009-03-31 4.96 45.52 17.33 4.53 12.27 9.66 9.53 -0.90 2.09
## 484 2009-04-30 7.16 -3.65 5.49 10.37 3.03 1.05 -0.94 6.20 4.63
## 485 2009-05-31 0.65 4.31 -1.71 -4.75 4.55 1.65 -0.29 3.59 4.63
## 486 2009-06-30 7.31 19.73 11.32 5.33 8.12 5.52 6.76 5.49 4.41
## 487 2009-07-31 0.74 2.45 2.97 0.79 2.27 0.73 3.70 2.21 0.25
## 488 2009-08-31 4.21 2.14 6.52 5.07 5.22 6.48 2.40 2.39 2.24
## 489 2009-09-30 -0.62 -0.63 -2.85 2.45 -1.52 -3.48 0.05 -3.72 -2.71
## 490 2009-10-31 3.86 10.36 7.60 3.26 4.85 6.52 5.01 8.23 4.57
## 491 2009-11-30 2.64 5.69 2.88 -0.50 5.99 6.42 1.95 2.47 5.86
## 492 2009-12-31 -2.40 -0.43 -3.32 -4.84 -7.84 -6.72 -1.84 -0.02 -4.44
## 493 2010-01-31 2.66 7.39 5.21 2.61 4.81 2.76 4.30 0.38 -0.42
## 494 2010-02-28 5.89 9.35 6.52 3.23 6.69 7.63 6.26 3.63 3.12
## 495 2010-03-31 -1.02 7.26 3.19 4.05 2.28 3.41 2.55 -2.18 2.85
## 496 2010-04-30 -5.73 -9.06 -8.42 -10.27 -7.78 -5.86 -5.36 -8.06 -6.29
## 497 2010-05-31 -1.90 -10.67 -5.80 -6.36 -6.17 -3.84 -9.06 -1.67 -0.70
## 498 2010-06-30 7.36 15.72 9.66 7.69 7.31 9.53 4.61 2.14 6.81
## 499 2010-07-31 -1.17 -9.67 -5.49 -3.43 -6.53 -1.99 -3.97 -1.66 0.37
## 500 2010-08-31 6.14 13.52 10.09 9.21 12.56 7.87 12.15 9.01 3.65
## 501 2010-09-30 4.34 8.49 5.12 4.59 6.41 4.57 2.42 1.98 1.86
## 502 2010-10-31 -0.07 7.47 1.43 5.52 -0.74 -1.89 4.17 -3.34 -1.33
## 503 2010-11-30 4.35 8.61 7.01 9.41 5.99 6.58 3.23 5.44 3.22
## 504 2010-12-31 -2.37 0.30 2.98 6.93 3.93 0.07 -0.86 -0.72 2.20
## 505 2011-01-31 4.72 -1.78 3.42 7.63 2.42 7.40 2.26 3.32 2.43
## 506 2011-02-28 3.02 1.74 1.86 2.10 -1.45 1.68 1.10 2.29 0.92
## 507 2011-03-31 4.61 2.22 2.96 1.59 3.14 3.30 4.51 6.34 4.00
## 508 2011-04-30 2.04 -3.54 -2.17 -4.52 -1.75 0.77 0.88 1.95 1.32
## 509 2011-05-31 -1.08 -1.06 -0.61 -2.34 -2.46 -1.39 -0.89 -1.88 -0.34
## 510 2011-06-30 -0.42 -8.93 -4.80 0.50 -0.52 -4.95 -0.64 -3.66 -0.33
## 511 2011-07-31 -0.66 -12.08 -6.14 -10.02 -6.79 -5.06 -2.89 -3.16 0.17
## 512 2011-08-31 -4.88 -14.10 -10.97 -12.31 -4.80 -5.77 -3.89 -3.95 -1.61
## 513 2011-09-30 6.29 23.28 14.09 16.24 11.80 7.59 9.77 5.54 6.70
## 514 2011-10-31 1.44 -8.02 1.39 2.15 -2.00 0.30 1.06 1.30 1.00
## 515 2011-11-30 1.89 -1.20 -0.78 -0.36 -1.42 3.13 0.90 3.51 2.93
## 516 2011-12-31 0.39 13.55 6.74 1.03 8.49 2.37 4.07 3.41 -2.71
## 517 2012-01-31 3.93 6.05 3.86 6.49 6.64 4.85 3.12 1.26 1.31
## 518 2012-02-29 3.88 0.94 0.68 -3.27 4.66 2.31 4.66 3.94 1.48
## 519 2012-03-31 0.81 -7.02 -0.72 -1.57 -2.11 1.75 0.96 0.61 1.73
## 520 2012-04-30 -2.67 -8.16 -7.78 -10.56 -7.85 -0.81 -3.05 -3.25 -0.91
## 521 2012-05-31 3.42 -5.56 1.25 5.78 2.91 7.05 2.17 6.83 3.40
## 522 2012-06-30 1.38 0.38 0.86 2.82 -0.11 4.14 1.24 1.63 3.62
## 523 2012-07-31 0.12 4.15 3.26 2.37 4.80 0.97 2.75 0.98 -3.44
## 524 2012-08-31 0.89 3.57 1.66 3.82 1.24 4.86 1.95 4.69 2.11
## 525 2012-09-30 -1.71 5.88 -0.62 -1.88 -6.34 -2.40 -1.02 -1.91 1.09
## 526 2012-10-31 3.22 3.12 2.66 -1.50 1.46 0.07 1.46 1.50 -3.76
## 527 2012-11-30 -2.28 7.31 2.76 1.33 0.36 1.15 -1.12 -0.53 0.08
## 528 2012-12-31 5.10 3.50 6.05 7.47 2.38 4.85 5.58 8.08 5.05
## 529 2013-01-31 3.19 0.01 1.28 0.68 0.67 2.29 0.85 1.32 2.20
## 530 2013-02-28 5.06 4.03 2.61 2.07 2.72 5.64 4.72 6.51 5.68
## 531 2013-03-31 3.78 3.65 0.75 -1.39 0.40 4.30 2.69 2.60 5.13
## 532 2013-04-30 -2.31 9.88 3.48 3.05 4.55 -1.80 2.23 1.62 -7.11
## 533 2013-05-31 0.11 -0.46 -1.99 -2.39 -2.92 2.09 -0.06 -1.37 0.82
## 534 2013-06-30 2.86 9.01 6.15 5.18 5.70 3.42 5.90 8.08 4.58
## 535 2013-07-31 -3.93 -1.02 -1.84 -1.89 -0.20 -3.29 -4.23 -3.68 -4.42
## 536 2013-08-31 1.95 6.47 5.20 1.97 3.83 4.28 4.51 4.16 1.04
## 537 2013-09-30 4.81 0.76 4.52 4.78 3.80 5.81 5.11 3.56 3.34
## 538 2013-10-31 1.29 1.88 2.87 0.85 3.58 0.09 3.68 4.49 -1.80
## 539 2013-11-30 2.45 1.24 3.11 3.05 3.99 3.97 0.28 0.62 1.79
## 540 2013-12-31 -5.75 -3.61 -4.19 -6.89 -1.39 -3.80 -6.45 1.88 2.49
## 541 2014-01-31 3.43 8.00 5.39 5.66 5.14 2.56 5.35 6.48 3.08
## 542 2014-02-28 3.26 -1.13 0.37 2.44 -0.62 0.17 -0.58 -2.56 2.68
## 543 2014-03-31 1.54 0.33 0.90 5.67 -1.05 0.39 -0.95 -0.41 3.98
## 544 2014-04-30 3.47 0.69 1.19 0.88 3.39 4.10 0.98 1.87 0.00
## 545 2014-05-31 1.16 4.45 1.37 4.12 2.88 1.54 1.29 2.90 5.41
## 546 2014-06-30 -4.34 -4.66 -4.13 -3.55 0.23 0.79 -2.25 -0.30 -6.40
## 547 2014-07-31 5.56 5.19 4.81 2.31 4.24 0.32 5.01 5.54 5.31
## 548 2014-08-31 -0.10 -9.41 -2.54 -7.83 -1.35 -1.44 -1.44 -0.22 -3.37
## 549 2014-09-30 2.67 3.72 2.38 -4.19 1.46 1.31 3.06 5.90 6.71
## 550 2014-10-31 4.74 4.73 2.25 -9.59 4.30 2.46 7.57 2.52 0.26
## 551 2014-11-30 -2.41 0.60 -0.11 0.54 -1.20 -2.04 1.60 -0.82 1.86
## 552 2014-12-31 -0.55 -4.36 -3.75 -4.31 -3.49 -4.47 -0.25 1.59 1.24
## 553 2015-01-31 5.13 8.18 6.14 4.73 8.25 8.91 5.56 4.24 -4.35
## 554 2015-02-28 -2.44 -0.46 -2.06 -2.49 -2.47 -2.11 0.69 0.76 -0.32
## 555 2015-03-31 0.85 -1.01 -0.71 6.67 1.44 3.60 -2.19 -1.42 0.28
## 556 2015-04-30 1.49 1.04 0.89 -5.10 1.99 0.33 0.94 4.91 -0.46
## 557 2015-05-31 -1.34 -1.65 -1.97 -3.77 -3.58 -0.52 -0.57 0.16 -5.29
## 558 2015-06-30 4.96 -2.09 -2.06 -8.93 2.38 1.55 4.91 3.49 2.65
## 559 2015-07-31 -4.11 -6.14 -5.62 -3.64 -5.79 -8.38 -5.37 -8.37 -4.06
## 560 2015-08-31 -0.56 -3.30 -4.26 -5.74 -1.48 -2.49 -1.79 -6.95 -0.50
## 561 2015-09-30 6.80 6.78 9.42 12.17 10.18 9.07 4.51 7.50 2.09
## 562 2015-10-31 -0.91 1.94 0.43 1.06 1.25 -2.02 0.91 0.57 -3.44
## 563 2015-11-30 0.78 -3.99 -2.58 -9.61 -2.63 -2.97 0.31 0.29 -2.36
## 564 2015-12-31 0.17 -12.63 -5.72 -4.36 -6.12 0.34 -4.18 -10.13 4.67
## 565 2016-01-31 0.59 4.09 3.35 -2.95 -0.86 0.95 0.07 -0.98 1.75
## 566 2016-02-29 5.00 10.80 6.90 10.89 8.35 6.13 5.72 3.96 7.86
## 567 2016-03-31 0.30 1.52 2.32 9.17 -4.10 0.67 -0.64 4.95 -0.80
## 568 2016-04-30 0.73 -1.20 -0.52 -0.59 5.07 0.29 0.98 2.41 2.24
## 569 2016-05-31 4.73 -5.80 0.92 2.55 -1.77 3.57 0.88 -0.16 7.42
## 570 2016-06-30 -0.06 8.81 4.07 -2.73 7.63 2.24 3.51 6.16 -0.26
## 571 2016-07-31 -0.61 0.19 1.48 1.61 1.80 -3.17 -1.42 -3.14 -3.77
## 572 2016-08-31 -2.48 -1.66 -0.09 2.83 2.30 0.48 -0.67 0.58 1.83
## 573 2016-09-30 -0.18 -3.56 -2.58 -2.96 -1.14 -3.03 -3.97 -7.52 -0.67
## 574 2016-10-31 -3.87 7.49 6.29 9.57 0.62 6.55 4.39 2.40 -2.64
## 575 2016-11-30 3.46 4.00 0.50 1.97 0.95 4.88 -0.40 0.72 3.61
## 576 2016-12-31 1.69 2.94 3.35 -4.29 4.58 3.36 1.03 2.03 1.07
## 577 2017-01-31 3.75 0.62 4.16 -2.46 4.89 -0.03 2.82 7.00 3.98
## 578 2017-02-28 0.88 0.23 0.13 -1.19 2.09 0.92 0.81 0.04 0.37
## 579 2017-03-31 0.51 1.85 1.86 -2.74 2.61 0.17 2.70 0.91 0.33
## 580 2017-04-30 3.23 -0.36 1.29 -3.36 4.23 -1.40 1.65 -0.26 2.43
## 581 2017-05-31 -1.06 3.59 1.21 -0.15 -2.04 -2.45 -1.94 5.54 -1.91
## 582 2017-06-30 -0.13 -1.19 2.18 2.06 3.67 5.27 0.16 0.70 2.99
## 583 2017-07-31 -1.75 -0.02 0.34 -5.09 3.01 -2.47 -1.63 2.59 2.17
## 584 2017-08-31 -0.40 5.29 4.22 10.93 0.68 -1.51 2.42 2.09 -1.95
## 585 2017-09-30 0.08 1.20 2.78 0.50 6.93 -5.55 2.78 -2.26 3.02
## 586 2017-10-31 4.07 -0.65 3.46 2.95 1.04 4.07 8.04 2.46 2.42
## 587 2017-11-30 2.01 -0.87 2.29 5.01 -0.16 4.48 2.44 -0.15 -4.98
## 588 2017-12-31 1.93 2.66 4.10 2.80 7.85 3.16 9.41 6.38 -2.81
## 589 2018-01-31 -6.22 -6.08 -4.04 -10.75 -0.09 -7.05 -4.64 -3.49 -4.54
## 590 2018-02-28 -1.08 -5.74 -2.24 3.00 -3.17 -2.54 -2.52 -2.41 3.17
## 591 2018-03-31 -3.98 -0.07 -3.42 10.05 -0.21 -2.28 3.93 -0.04 2.78
## 592 2018-04-30 -0.56 2.97 2.52 3.41 6.81 -0.83 0.87 2.37 0.22
## 593 2018-05-31 4.55 0.88 -1.01 0.53 -0.40 6.43 3.03 1.48 2.61
## 594 2018-06-30 2.86 -1.63 5.25 1.09 2.45 2.71 3.22 5.92 1.69
## 595 2018-07-31 -1.15 -0.72 -0.35 -2.84 7.20 2.91 8.04 4.50 0.93
## 596 2018-08-31 0.72 -3.95 1.31 3.37 -0.14 1.77 0.60 2.08 -0.56
## 597 2018-09-30 -0.24 -2.86 -9.92 -11.92 -8.77 -0.43 -8.78 -8.79 -0.07
## 598 2018-10-31 0.48 5.33 4.64 -2.20 -1.53 2.53 2.47 6.42 3.28
## 599 2018-11-30 -11.29 -11.37 -8.74 -13.04 -8.14 -8.70 -9.06 -8.25 -4.76
## 600 2018-12-31 7.29 10.54 9.72 10.33 9.29 5.44 8.20 5.32 5.42
## 601 2019-01-31 1.34 3.75 5.19 2.47 5.76 3.23 0.68 3.30 3.56
## 602 2019-02-28 3.66 -5.36 -0.85 2.02 3.78 0.45 3.43 0.50 3.33
## 603 2019-03-31 3.13 3.33 4.05 0.22 5.85 6.02 4.63 -3.16 1.00
## 604 2019-04-30 -5.62 -12.43 -9.16 -11.83 -8.44 -3.00 -6.04 -3.40 -1.55
## 605 2019-05-31 4.92 13.15 8.07 8.83 8.03 5.14 7.14 6.83 3.64
## 606 2019-06-30 1.75 1.03 0.94 -2.68 3.47 2.05 0.91 -2.18 -1.01
## 607 2019-07-31 -1.38 -4.76 -1.69 -8.74 -2.57 0.29 0.12 -0.64 3.44
## 608 2019-08-31 1.87 3.69 3.85 3.68 1.17 1.23 0.86 -0.98 3.93
## 609 2019-09-30 0.07 7.15 0.08 -2.07 3.19 2.16 0.78 4.68 -1.39
## 610 2019-10-31 2.18 2.69 3.28 1.16 5.23 2.49 2.16 5.61 -2.14
## 611 2019-11-30 3.50 5.49 1.36 6.20 3.78 1.02 1.32 3.46 4.11
## 612 2019-12-31 -0.35 6.50 -2.74 -11.88 3.36 -2.10 1.02 -1.99 4.83
## 613 2020-01-31 -8.67 -7.16 -8.60 -15.30 -6.92 -6.21 -6.83 -5.36 -9.85
## 614 2020-02-29 -11.38 -22.80 -16.92 -34.47 -9.86 -13.32 -7.60 -5.09 -12.94
## 615 2020-03-31 8.05 26.15 10.87 32.36 15.32 9.53 18.05 13.48 5.08
## 616 2020-04-30 3.26 7.35 5.80 0.52 7.97 4.79 4.33 4.15 4.60
## 617 2020-05-31 0.01 14.70 2.58 -0.40 5.90 -2.60 4.28 -1.45 -5.00
## 618 2020-06-30 5.86 19.07 4.57 -4.77 6.97 5.04 9.47 4.39 6.35
## 619 2020-07-31 4.45 41.97 6.18 -1.08 10.43 5.60 8.15 2.35 -2.24
## 620 2020-08-31 -2.07 -9.20 -0.16 -14.90 -5.20 -1.98 -3.86 -1.46 -0.32
## 621 2020-09-30 -2.69 -3.38 -0.72 -4.50 -1.88 -3.85 -2.64 -4.40 4.47
## 622 2020-10-31 10.02 34.48 13.94 28.49 10.80 14.48 8.32 9.86 2.68
## 623 2020-11-30 4.91 15.63 2.53 6.27 5.14 5.24 1.40 4.70 0.63
## 624 2020-12-31 -4.15 11.83 -2.35 4.67 0.59 -3.52 -0.16 3.43 -0.44
## 625 2021-01-31 1.32 -8.30 5.54 23.36 1.57 4.24 -1.67 -1.28 -4.57
## 626 2021-02-28 7.27 0.69 7.73 2.25 0.72 1.62 5.70 -0.08 10.37
## 627 2021-03-31 3.32 4.32 2.47 0.72 6.41 3.06 7.18 2.97 3.97
## 628 2021-04-30 1.97 -5.46 2.76 6.16 -0.85 -0.58 -2.25 -0.11 -1.16
## 629 2021-05-31 -0.80 5.68 -1.01 5.51 6.92 0.02 2.82 4.39 -1.41
## 630 2021-06-30 0.21 -0.96 1.33 -8.58 3.38 0.33 0.26 2.92 2.97
## 631 2021-07-31 -0.28 1.78 0.55 -1.19 4.65 1.34 2.38 2.85 3.23
## 632 2021-08-31 -4.56 2.80 -5.79 10.99 -6.22 -5.58 -4.20 -6.01 -4.86
## 633 2021-09-30 3.74 30.86 4.99 10.33 7.80 -4.23 4.97 2.25 5.11
## 634 2021-10-31 -3.87 2.04 -0.69 -5.35 0.99 -7.18 1.50 -4.29 -1.96
## 635 2021-11-30 8.06 -4.69 5.81 3.10 1.79 3.91 1.36 6.62 8.55
## 636 2021-12-31 -0.66 -10.31 -5.84 17.43 -8.34 -1.91 -8.95 -8.77 -2.10
## 637 2022-01-31 -0.56 -7.08 -1.23 8.27 -4.98 0.27 -1.52 -1.00 -1.10
## 638 2022-02-28 0.43 15.05 0.92 9.72 3.29 -2.44 3.02 5.13 9.67
## 639 2022-03-31 2.26 -16.96 -5.30 -1.24 -12.60 -10.63 -9.93 -6.88 -3.71
## 640 2022-04-30 -1.63 -9.04 -0.38 15.57 -2.09 8.62 -4.09 0.96 4.79
## 641 2022-05-31 -3.91 -11.89 -9.45 -16.52 -8.31 -6.65 -7.72 -2.01 -6.54
## 642 2022-06-30 4.15 27.65 8.37 10.43 11.77 -0.04 14.65 2.77 6.30
## 643 2022-07-31 -1.82 -5.81 -3.48 3.32 -5.25 -2.86 -3.14 -5.03 0.15
## 644 2022-08-31 -8.35 -6.55 -11.54 -9.14 -11.42 -13.85 -7.63 -1.91 -11.62
## 645 2022-09-30 9.98 -6.61 12.21 23.61 5.02 10.58 4.25 8.80 3.51
## 646 2022-10-31 5.30 -8.10 9.03 0.99 5.28 2.15 3.85 5.35 6.78
## 647 2022-11-30 -2.66 -28.07 -2.35 -4.17 -7.92 -6.81 -7.97 -1.74 -1.21
## 648 2022-12-31 -0.37 29.03 5.93 2.82 9.71 13.53 9.74 -1.03 -1.24
## 649 2023-01-31 -2.18 11.00 -1.85 -6.84 -0.25 -6.50 -4.65 -4.29 -5.32
## 650 2023-02-28 3.13 -0.62 0.37 -0.32 10.33 -0.13 3.49 2.49 3.89
## 651 2023-03-31 3.16 -15.24 -0.58 2.59 0.26 0.99 2.19 4.12 1.72
## 652 2023-04-30 -5.35 13.52 -5.54 -9.51 8.23 -9.40 0.62 -3.67 -5.82
## 653 2023-05-31 2.84 24.66 10.69 6.42 5.91 4.63 7.89 4.66 2.61
## 654 2023-06-30 2.32 2.73 3.19 7.34 4.30 0.98 2.28 -0.11 2.79
## 655 2023-07-31 -3.77 -4.31 -2.37 1.95 -1.68 0.14 -0.40 -0.22 -5.29
## 656 2023-08-31 -4.57 -2.58 -7.08 3.17 -5.98 -3.22 -5.68 -4.71 -5.04
## 657 2023-09-30 -3.53 -17.88 -2.76 -6.24 -1.78 -0.18 0.47 -4.58 1.12
## 658 2023-10-31 5.02 15.76 8.68 -1.29 11.96 6.97 7.18 5.87 5.08
## 659 2023-11-30 3.53 6.61 6.35 0.18 4.70 2.26 5.90 6.90 1.69
## 660 2023-12-31 -1.77 -17.91 -1.22 -0.11 3.04 4.53 1.28 3.52 -3.00
## 661 2024-01-31 1.92 7.21 5.26 2.95 6.15 -2.72 9.46 4.63 2.43
## 662 2024-02-29 2.99 -5.56 4.48 10.31 2.42 3.08 2.63 2.19 7.03
## other
## 1 -8.35
## 2 0.74
## 3 1.77
## 4 -1.23
## 5 -10.68
## 6 -9.10
## 7 9.03
## 8 -0.71
## 9 7.99
## 10 -5.54
## 11 -3.75
## 12 -8.83
## 13 9.50
## 14 -1.90
## 15 -13.68
## 16 -8.25
## 17 -6.83
## 18 8.04
## 19 5.12
## 20 7.61
## 21 -5.89
## 22 3.87
## 23 8.36
## 24 7.81
## 25 2.36
## 26 5.97
## 27 4.36
## 28 -4.42
## 29 -1.22
## 30 -3.85
## 31 7.02
## 32 -0.42
## 33 -4.20
## 34 -0.23
## 35 8.19
## 36 3.33
## 37 2.25
## 38 2.34
## 39 1.82
## 40 -0.63
## 41 -4.53
## 42 -2.93
## 43 3.61
## 44 -1.72
## 45 1.14
## 46 5.14
## 47 -0.72
## 48 -7.44
## 49 -6.06
## 50 -0.26
## 51 -7.75
## 52 -4.98
## 53 -0.25
## 54 9.56
## 55 -2.30
## 56 7.23
## 57 -1.02
## 58 -13.45
## 59 2.49
## 60 1.14
## 61 1.02
## 62 -3.63
## 63 -6.37
## 64 -8.44
## 65 -5.50
## 66 -6.61
## 67 -10.62
## 68 -9.62
## 69 20.19
## 70 -2.77
## 71 -4.35
## 72 17.89
## 73 2.87
## 74 4.15
## 75 3.27
## 76 5.72
## 77 5.95
## 78 -6.14
## 79 -5.14
## 80 -6.31
## 81 3.91
## 82 3.58
## 83 -0.26
## 84 12.95
## 85 3.13
## 86 1.98
## 87 -1.55
## 88 -1.71
## 89 5.40
## 90 -0.05
## 91 -1.14
## 92 0.90
## 93 -0.43
## 94 2.08
## 95 8.41
## 96 -4.18
## 97 -1.72
## 98 -0.09
## 99 2.14
## 100 -0.86
## 101 5.30
## 102 -0.39
## 103 -1.22
## 104 -0.07
## 105 -4.45
## 106 6.50
## 107 0.61
## 108 -5.32
## 109 -0.15
## 110 5.45
## 111 9.37
## 112 2.61
## 113 -0.33
## 114 6.61
## 115 6.37
## 116 -1.27
## 117 -14.09
## 118 2.52
## 119 1.29
## 120 6.09
## 121 -3.25
## 122 8.17
## 123 1.51
## 124 -0.31
## 125 7.03
## 126 3.32
## 127 5.82
## 128 -0.69
## 129 -10.17
## 130 7.03
## 131 4.19
## 132 5.54
## 133 -3.39
## 134 -12.27
## 135 6.06
## 136 8.12
## 137 5.10
## 138 6.90
## 139 2.73
## 140 3.81
## 141 1.64
## 142 7.71
## 143 0.02
## 144 -3.23
## 145 1.71
## 146 8.42
## 147 0.87
## 148 2.84
## 149 -1.38
## 150 -2.71
## 151 -5.52
## 152 -5.44
## 153 7.16
## 154 5.05
## 155 -3.79
## 156 -3.23
## 157 -3.89
## 158 -1.31
## 159 3.71
## 160 -5.47
## 161 -2.42
## 162 -3.03
## 163 11.36
## 164 4.18
## 165 15.74
## 166 7.64
## 167 -1.34
## 168 2.80
## 169 4.56
## 170 4.96
## 171 8.31
## 172 2.43
## 173 1.68
## 174 -3.66
## 175 -0.82
## 176 1.58
## 177 -4.06
## 178 4.71
## 179 -0.87
## 180 -1.64
## 181 -4.92
## 182 2.44
## 183 -2.04
## 184 -6.87
## 185 2.22
## 186 -1.82
## 187 11.18
## 188 2.19
## 189 0.73
## 190 -0.30
## 191 3.73
## 192 9.82
## 193 2.13
## 194 -0.16
## 195 1.42
## 196 6.33
## 197 2.97
## 198 -0.18
## 199 -0.49
## 200 -4.96
## 201 6.40
## 202 7.43
## 203 4.49
## 204 3.56
## 205 8.38
## 206 5.77
## 207 -2.62
## 208 4.66
## 209 1.50
## 210 -6.45
## 211 6.84
## 212 -8.87
## 213 4.22
## 214 -0.68
## 215 -2.53
## 216 11.10
## 217 4.68
## 218 -0.33
## 219 -4.11
## 220 -0.03
## 221 4.64
## 222 3.59
## 223 4.33
## 224 -1.80
## 225 -23.68
## 226 -6.60
## 227 5.39
## 228 6.33
## 229 4.32
## 230 -1.34
## 231 -0.36
## 232 0.94
## 233 6.03
## 234 -0.61
## 235 -0.88
## 236 4.13
## 237 0.01
## 238 -2.17
## 239 0.91
## 240 6.84
## 241 -0.48
## 242 3.54
## 243 4.61
## 244 4.24
## 245 0.79
## 246 8.16
## 247 3.22
## 248 1.39
## 249 -4.87
## 250 -0.08
## 251 -1.60
## 252 -9.00
## 253 2.51
## 254 -0.38
## 255 -3.42
## 256 9.17
## 257 -1.72
## 258 -3.57
## 259 -11.32
## 260 -10.07
## 261 -6.43
## 262 10.65
## 263 5.50
## 264 7.47
## 265 9.74
## 266 3.07
## 267 1.34
## 268 4.99
## 269 -5.24
## 270 4.73
## 271 3.19
## 272 -0.65
## 273 2.27
## 274 -5.41
## 275 12.75
## 276 2.00
## 277 3.08
## 278 -2.16
## 279 0.58
## 280 1.48
## 281 -0.05
## 282 3.11
## 283 -3.47
## 284 3.43
## 285 2.97
## 286 6.12
## 287 3.82
## 288 3.37
## 289 0.37
## 290 3.79
## 291 -3.27
## 292 1.64
## 293 2.29
## 294 2.06
## 295 3.46
## 296 1.79
## 297 -2.36
## 298 -2.83
## 299 2.53
## 300 4.37
## 301 -3.87
## 302 -4.23
## 303 1.35
## 304 3.04
## 305 -2.56
## 306 2.70
## 307 3.51
## 308 -4.25
## 309 0.05
## 310 -5.17
## 311 1.41
## 312 4.71
## 313 4.85
## 314 1.90
## 315 1.77
## 316 4.49
## 317 2.21
## 318 4.76
## 319 3.73
## 320 4.50
## 321 -2.04
## 322 6.12
## 323 1.06
## 324 3.54
## 325 2.15
## 326 1.80
## 327 0.25
## 328 1.51
## 329 -0.25
## 330 -4.26
## 331 3.90
## 332 5.15
## 333 3.95
## 334 7.48
## 335 -1.83
## 336 6.05
## 337 2.60
## 338 -5.83
## 339 5.07
## 340 6.14
## 341 5.25
## 342 9.28
## 343 -4.78
## 344 8.04
## 345 -2.76
## 346 2.97
## 347 5.14
## 348 -1.93
## 349 8.25
## 350 5.96
## 351 1.96
## 352 -3.07
## 353 3.22
## 354 -1.86
## 355 -21.46
## 356 2.78
## 357 9.02
## 358 6.11
## 359 3.45
## 360 0.95
## 361 0.02
## 362 2.44
## 363 6.69
## 364 -3.91
## 365 3.01
## 366 -5.95
## 367 -5.08
## 368 -4.52
## 369 11.54
## 370 -2.48
## 371 1.37
## 372 -4.77
## 373 -7.38
## 374 14.39
## 375 -2.85
## 376 3.36
## 377 -3.11
## 378 5.34
## 379 9.24
## 380 0.25
## 381 -1.29
## 382 -6.02
## 383 7.13
## 384 0.07
## 385 -4.30
## 386 -4.51
## 387 6.09
## 388 3.63
## 389 -0.08
## 390 -2.20
## 391 -5.35
## 392 -8.00
## 393 -0.97
## 394 7.30
## 395 3.67
## 396 -1.68
## 397 -0.25
## 398 5.18
## 399 -2.82
## 400 -0.52
## 401 -5.16
## 402 -6.38
## 403 1.14
## 404 -10.60
## 405 6.37
## 406 4.21
## 407 -4.79
## 408 -2.38
## 409 -2.70
## 410 1.04
## 411 11.63
## 412 5.23
## 413 0.91
## 414 3.59
## 415 0.64
## 416 0.26
## 417 6.34
## 418 1.15
## 419 4.27
## 420 2.90
## 421 2.13
## 422 -0.64
## 423 -3.81
## 424 1.73
## 425 1.32
## 426 -2.35
## 427 1.88
## 428 1.11
## 429 1.10
## 430 4.72
## 431 4.43
## 432 -2.18
## 433 0.15
## 434 -2.37
## 435 -1.60
## 436 3.24
## 437 1.42
## 438 2.42
## 439 -1.68
## 440 1.28
## 441 1.36
## 442 4.93
## 443 0.12
## 444 1.59
## 445 0.97
## 446 1.86
## 447 2.13
## 448 -3.25
## 449 -0.37
## 450 -0.90
## 451 1.72
## 452 3.23
## 453 2.98
## 454 1.61
## 455 3.21
## 456 1.05
## 457 -2.28
## 458 -0.24
## 459 3.30
## 460 3.18
## 461 -2.74
## 462 -5.33
## 463 1.17
## 464 2.66
## 465 0.20
## 466 -5.98
## 467 -3.47
## 468 -2.08
## 469 -7.87
## 470 -1.92
## 471 3.47
## 472 -2.35
## 473 -14.64
## 474 4.30
## 475 0.41
## 476 -6.00
## 477 -19.80
## 478 -12.40
## 479 0.76
## 480 -17.81
## 481 -14.53
## 482 13.01
## 483 16.17
## 484 7.23
## 485 -2.02
## 486 9.16
## 487 7.70
## 488 3.14
## 489 -5.38
## 490 5.66
## 491 0.73
## 492 -0.54
## 493 3.64
## 494 8.10
## 495 1.83
## 496 -8.76
## 497 -6.52
## 498 6.81
## 499 -7.10
## 500 8.51
## 501 2.03
## 502 0.50
## 503 9.23
## 504 2.10
## 505 2.94
## 506 -1.08
## 507 1.06
## 508 -2.64
## 509 -2.12
## 510 -3.66
## 511 -8.15
## 512 -11.10
## 513 13.59
## 514 -2.03
## 515 1.46
## 516 7.23
## 517 4.21
## 518 4.90
## 519 -1.66
## 520 -7.73
## 521 4.89
## 522 -1.23
## 523 3.12
## 524 3.79
## 525 0.91
## 526 -0.37
## 527 3.67
## 528 6.76
## 529 1.41
## 530 4.18
## 531 0.83
## 532 5.92
## 533 -1.19
## 534 5.69
## 535 -3.64
## 536 3.83
## 537 3.90
## 538 4.79
## 539 3.10
## 540 -4.37
## 541 3.49
## 542 1.98
## 543 -1.97
## 544 1.86
## 545 2.45
## 546 -2.27
## 547 4.12
## 548 -1.13
## 549 3.44
## 550 2.49
## 551 1.17
## 552 -6.36
## 553 7.21
## 554 -0.59
## 555 0.62
## 556 1.74
## 557 0.03
## 558 1.82
## 559 -6.18
## 560 -3.06
## 561 6.60
## 562 1.38
## 563 -2.67
## 564 -8.77
## 565 -0.43
## 566 7.16
## 567 2.39
## 568 1.20
## 569 -3.07
## 570 3.75
## 571 3.30
## 572 -1.10
## 573 0.74
## 574 11.64
## 575 2.97
## 576 0.95
## 577 3.68
## 578 -1.66
## 579 0.30
## 580 -0.52
## 581 4.41
## 582 1.36
## 583 -0.64
## 584 4.57
## 585 2.08
## 586 3.91
## 587 1.41
## 588 5.78
## 589 -3.28
## 590 -2.63
## 591 0.62
## 592 1.34
## 593 -0.97
## 594 3.81
## 595 2.27
## 596 -1.45
## 597 -6.74
## 598 2.81
## 599 -10.94
## 600 9.80
## 601 2.96
## 602 -1.47
## 603 6.63
## 604 -6.17
## 605 6.64
## 606 1.86
## 607 -4.69
## 608 2.06
## 609 3.11
## 610 5.07
## 611 2.41
## 612 -1.45
## 613 -9.93
## 614 -19.35
## 615 11.08
## 616 4.08
## 617 0.16
## 618 3.53
## 619 6.90
## 620 -2.93
## 621 -1.58
## 622 15.87
## 623 5.54
## 624 -2.82
## 625 9.71
## 626 5.69
## 627 5.63
## 628 2.87
## 629 -2.48
## 630 -0.42
## 631 2.59
## 632 -2.26
## 633 7.25
## 634 -4.96
## 635 4.88
## 636 -3.22
## 637 -0.97
## 638 1.00
## 639 -8.98
## 640 0.66
## 641 -9.76
## 642 8.69
## 643 -2.62
## 644 -8.05
## 645 11.66
## 646 5.99
## 647 -5.37
## 648 7.32
## 649 -2.68
## 650 -5.00
## 651 1.83
## 652 -2.65
## 653 7.44
## 654 5.24
## 655 -3.35
## 656 -3.41
## 657 -2.53
## 658 10.41
## 659 6.54
## 660 1.04
## 661 4.75
## 662 4.46ff_factors <- read.csv("F-F_Research_Data_5_Factors_2x3.csv", stringsAsFactors = FALSE)colnames(ff_factors) <- c("Date", "Mkt_RF", "SMB", "HML", "RMW", "CMA", "RF")
ff_factors <- ff_factors %>%
filter(as.Date(paste0(Date, "01"), format = "%Y%m%d") >= as.Date("1969-01-01"))
ff_factors$Date <- as.Date(paste0(ff_factors$Date, "01"), format = "%Y%m%d")head(ff_factors)## Date Mkt_RF SMB HML RMW CMA RF
## 1 1969-01-01 -1.25 -0.44 1.67 -1.55 1.38 0.53
## 2 1969-02-01 -5.84 -4.16 0.91 2.07 0.83 0.46
## 3 1969-03-01 2.64 -0.45 -0.51 -1.43 -0.35 0.46
## 4 1969-04-01 1.46 -0.80 -0.03 0.41 0.06 0.53
## 5 1969-05-01 -0.10 -0.11 0.70 -0.95 1.39 0.48
## 6 1969-06-01 -7.18 -5.45 -1.08 4.32 -1.60 0.51# Calculate cumulative returns for Fama-French 5 factors
ff_factors_cumulative <- ff_factors %>%
mutate(
Mkt_RF_Cumulative = cumprod(1 + Mkt_RF/100),
SMB_Cumulative = cumprod(1 + SMB/100),
HML_Cumulative = cumprod(1 + HML/100),
RMW_Cumulative = cumprod(1 + RMW/100),
CMA_Cumulative = cumprod(1 + CMA/100)
)
# Plot cumulative returns for Fama-French 5 factors
ff_factors_long <- ff_factors_cumulative %>%
select(Date, Mkt_RF_Cumulative, SMB_Cumulative, HML_Cumulative, RMW_Cumulative, CMA_Cumulative) %>%
pivot_longer(cols = -Date, names_to = "Factor", values_to = "Cumulative_Return")
ggplot(ff_factors_long, aes(x = Date, y = Cumulative_Return, color = Factor)) +
geom_line() +
labs(title = "Cumulative Returns of Fama-French 5 Factors",
x = "Date",
y = "Cumulative Return") +
theme_minimal()
print(colnames(industry))## [1] "date" "nodur" "durbl" "manuf" "enrgy" "hitec" "telcm" "shops" "hlth"
## [10] "utils" "other"# Calculate cumulative returns for Fama-French 5 factors
industry_cumulative <- industry.digit %>%
mutate(
nodur_Cumulative = cumprod(1 + nodur/100),
durbl_Cumulative = cumprod(1 + durbl/100),
manuf_Cumulative = cumprod(1 + manuf/100),
enrgy_Cumulative = cumprod(1 + enrgy/100),
telcm_Cumulative = cumprod(1 + telcm/100),
shops_Cumulative = cumprod(1 + shops/100),
hlth_Cumulative = cumprod(1 + hlth/100),
utils_Cumulative = cumprod(1 + utils/100),
other_Cumulative = cumprod(1 + other/100),
)
# Plot cumulative returns for Fama-French 5 factors
industry_long <- industry_cumulative %>%
select(date, nodur_Cumulative, durbl_Cumulative, manuf_Cumulative, enrgy_Cumulative, telcm_Cumulative, shops_Cumulative, hlth_Cumulative, utils_Cumulative, other_Cumulative) %>%
pivot_longer(cols = -date, names_to = "Factor", values_to = "Cumulative_Return")
ggplot(industry_long, aes(x = date, y = Cumulative_Return, color = Factor)) +
geom_line() +
labs(title = "Cumulative Returns of Industry Portfolio",
x = "Date",
y = "Cumulative Return") +
theme_minimal()
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