# Load packages

# Core
library(tidyverse)
library(tidyquant)

Goal

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

five stocks: “SPY”, “EFA”, “IJS”, “EEM”, “AGG”

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

1 Import stock prices

symbols <- c("SPY", "EFA", "IJS", "EEM", "AGG")

prices <- tq_get(x=    symbols,
                 get ="stock.prices",
                 from = "2012-12-31",
                 to = "2017-12-31")

2 Convert prices to returns

asset_returns_tbl <- prices %>%
    
    group_by(symbol) %>%
    
    tq_transmute(select=   adjusted,
     mutate_fun=  periodReturn,
     period= "monthly",
     type= "log") %>%
slice(-1) %>%
    ungroup() %>%
 set_names(c("asset", "date", "returns"))

3 Assign a weight to each asset

# symbols
symbols <- asset_returns_tbl %>% distinct(asset) %>% pull()
symbols
## [1] "AGG" "EEM" "EFA" "IJS" "SPY"
#weights
weights <- c(0.25,0.25,0.2,0.2,0.1)
weights
## [1] 0.25 0.25 0.20 0.20 0.10
w_tbl <- tibble(symbols,weights)
w_tbl
## # A tibble: 5 × 2
##   symbols weights
##   <chr>     <dbl>
## 1 AGG        0.25
## 2 EEM        0.25
## 3 EFA        0.2 
## 4 IJS        0.2 
## 5 SPY        0.1

4 Build a portfolio

# ?tq_portfolio

portfolio_returns_tbl <- asset_returns_tbl %>% 
    
    tq_portfolio(assets_col = asset, 
                returns_col = returns,
                weights = w_tbl,
                replace_on = "months")

portfolio_returns_tbl
## # A tibble: 60 × 2
##    date       portfolio.returns
##    <date>                 <dbl>
##  1 2013-01-31           0.0204 
##  2 2013-02-28          -0.00220
##  3 2013-03-28           0.0127 
##  4 2013-04-30           0.0173 
##  5 2013-05-31          -0.0113 
##  6 2013-06-28          -0.0233 
##  7 2013-07-31           0.0342 
##  8 2013-08-30          -0.0231 
##  9 2013-09-30           0.0513 
## 10 2013-10-31           0.0305 
## # ℹ 50 more rows

Calculate Standard Deviation

portfolio_sd_tidyquant_builtin_percent <- portfolio_returns_tbl %>%
   
     tq_performance(Ra = portfolio.returns,
                   performance_fun = table.Stats) %>%
    
    select(Stdev) %>%
    mutate(tq_sd = round(Stdev, 4))

portfolio_sd_tidyquant_builtin_percent
## # A tibble: 1 × 2
##    Stdev  tq_sd
##    <dbl>  <dbl>
## 1 0.0235 0.0235
# Mean of Portfolio Returns
portfolio_mean_tidyquant_builtin_percent <-
mean(portfolio_returns_tbl$portfolio.returns)

portfolio_mean_tidyquant_builtin_percent
## [1] 0.006173971

##6 Plot ###Expected Return vs Risk

# Expected Return vs Risk
sd_mean_tbl <- asset_returns_tbl %>%
    
    group_by(asset) %>%
    tq_performance(Ra = returns,
                   performance_fun = table.Stats) %>%
    select(Mean = ArithmeticMean, Stdev) %>%
    ungroup() %>%
    # mutate(Stdev = portfolio_sd_tidyquant_builtin_percent$Stdev * 100) %>%         

# Add Portfolio SD
add_row(tibble(asset = "Portfolio",
                Mean = portfolio_mean_tidyquant_builtin_percent,
                Stdev = portfolio_sd_tidyquant_builtin_percent$tq_sd))
sd_mean_tbl
## # A tibble: 6 × 3
##   asset        Mean  Stdev
##   <chr>       <dbl>  <dbl>
## 1 AGG       0.0017  0.0086
## 2 EEM       0.0028  0.0419
## 3 EFA       0.006   0.0326
## 4 IJS       0.0119  0.0396
## 5 SPY       0.0121  0.0272
## 6 Portfolio 0.00617 0.0235
sd_mean_tbl %>%
    ggplot(aes(x = Stdev, y = Mean, color = asset)) +
    geom_point() +
    ggrepel::geom_text_repel(aes(label = asset))

###24 Months Rolling Volitility

rolling_sd_tbl <- portfolio_returns_tbl %>%
    tq_mutate(select = portfolio.returns,
                       mutate_fun = rollapply,
                       width      = 24,
                       FUN        = sd,
                       col_rename = "rolling_sd") %>%
    na.omit() %>%
    select(date,rolling_sd)
rolling_sd_tbl
## # A tibble: 37 × 2
##    date       rolling_sd
##    <date>          <dbl>
##  1 2014-12-31     0.0239
##  2 2015-01-30     0.0241
##  3 2015-02-27     0.0250
##  4 2015-03-31     0.0251
##  5 2015-04-30     0.0251
##  6 2015-05-29     0.0249
##  7 2015-06-30     0.0246
##  8 2015-07-31     0.0241
##  9 2015-08-31     0.0264
## 10 2015-09-30     0.0249
## # ℹ 27 more rows
rolling_sd_tbl %>%
    
    ggplot(aes(x = date, y = rolling_sd)) +
    geom_line(color = "cornflowerblue") +
    
    #Formatting
    scale_y_continuous(labels = scales::percent_format()) +
    
    #Labeling
    labs(x = NULL,
         y = NULL,
         title = "24-Month Rolling Volitility") +
         theme(plot.title = element_text(hjust = 0.5))