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## method from
## as.zoo.data.frame zoo
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1 Get stock prices and convert to returns
## # A tibble: 27 × 3
## # Groups: symbol [3]
## symbol date Ra
## <chr> <date> <dbl>
## 1 AMZN 2024-01-31 0.0351
## 2 AMZN 2024-02-29 0.139
## 3 AMZN 2024-03-28 0.0205
## 4 AMZN 2024-04-30 -0.0298
## 5 AMZN 2024-05-31 0.00823
## 6 AMZN 2024-06-28 0.0953
## 7 AMZN 2024-07-31 -0.0324
## 8 AMZN 2024-08-30 -0.0454
## 9 AMZN 2024-09-17 0.0469
## 10 RGR 2024-01-31 -0.0309
## # ℹ 17 more rows
2 Get baseline and convert to returns
## # A tibble: 9 × 2
## date Rb
## <date> <dbl>
## 1 2024-01-31 0.0270
## 2 2024-02-29 0.0612
## 3 2024-03-28 0.0179
## 4 2024-04-30 -0.0441
## 5 2024-05-31 0.0688
## 6 2024-06-28 0.0596
## 7 2024-07-31 -0.00751
## 8 2024-08-30 0.00649
## 9 2024-09-17 -0.00483
3 Join the two tables
## # A tibble: 27 × 4
## # Groups: symbol [3]
## symbol date Ra Rb
## <chr> <date> <dbl> <dbl>
## 1 AMZN 2024-01-31 0.0351 0.0270
## 2 AMZN 2024-02-29 0.139 0.0612
## 3 AMZN 2024-03-28 0.0205 0.0179
## 4 AMZN 2024-04-30 -0.0298 -0.0441
## 5 AMZN 2024-05-31 0.00823 0.0688
## 6 AMZN 2024-06-28 0.0953 0.0596
## 7 AMZN 2024-07-31 -0.0324 -0.00751
## 8 AMZN 2024-08-30 -0.0454 0.00649
## 9 AMZN 2024-09-17 0.0469 -0.00483
## 10 RGR 2024-01-31 -0.0309 0.0270
## # ℹ 17 more rows
4 Calculate CAPM
## # A tibble: 3 × 13
## # Groups: symbol [3]
## symbol ActivePremium Alpha AnnualizedAlpha Beta `Beta-` `Beta+` Correlation
## <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 AMZN 0.075 0.0043 0.0528 1.08 1.09 1.63 0.662
## 2 RGR -0.356 0.0042 0.0518 -0.529 0.689 -0.428 -0.382
## 3 WMT 0.443 0.0329 0.475 0.667 0.778 -0.104 0.538
## # ℹ 5 more variables: `Correlationp-value` <dbl>, InformationRatio <dbl>,
## # `R-squared` <dbl>, TrackingError <dbl>, TreynorRatio <dbl>
which stock/s has a positively stewed distribution of returns?
Walmart and Amazon were able to beat the market
I was also confused how you did the coding to find the skewness,
would like to bring this up Monday, Thankyou.