# Load packages
library(tidyverse)
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library(tidyquant)
## Registered S3 method overwritten by 'quantmod':
##   method            from
##   as.zoo.data.frame zoo 
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## ℹ Use the conflicted package (<http://conflicted.r-lib.org/>) to force all conflicts to become errors

Get Stock Prices/ Convert to Returns

Ra <- c("TSLA", "AMZN", "HD", "NVDA", "LLY", "UAA") %>%
    tq_get(get  = "stock.prices",
           from = "2022-01-01") %>%
    group_by(symbol) %>%
    tq_transmute(select     = adjusted, 
                 mutate_fun = periodReturn, 
                 period     = "monthly", 
                 col_rename = "Ra")
Ra
## # A tibble: 270 × 3
## # Groups:   symbol [6]
##    symbol date            Ra
##    <chr>  <date>       <dbl>
##  1 TSLA   2022-01-31 -0.219 
##  2 TSLA   2022-02-28 -0.0708
##  3 TSLA   2022-03-31  0.238 
##  4 TSLA   2022-04-29 -0.192 
##  5 TSLA   2022-05-31 -0.129 
##  6 TSLA   2022-06-30 -0.112 
##  7 TSLA   2022-07-29  0.324 
##  8 TSLA   2022-08-31 -0.0725
##  9 TSLA   2022-09-30 -0.0376
## 10 TSLA   2022-10-31 -0.142 
## # ℹ 260 more rows

Get Baseline/ Convert to Returns

Rb <- "^IXIC" %>%
    tq_get(get  = "stock.prices",
           from = "2022-01-01") %>%
    tq_transmute(select     = adjusted, 
                 mutate_fun = periodReturn, 
                 period     = "monthly", 
                 col_rename = "Rb")
Rb
## # A tibble: 45 × 2
##    date            Rb
##    <date>       <dbl>
##  1 2022-01-31 -0.101 
##  2 2022-02-28 -0.0343
##  3 2022-03-31  0.0341
##  4 2022-04-29 -0.133 
##  5 2022-05-31 -0.0205
##  6 2022-06-30 -0.0871
##  7 2022-07-29  0.123 
##  8 2022-08-31 -0.0464
##  9 2022-09-30 -0.105 
## 10 2022-10-31  0.0390
## # ℹ 35 more rows

Join the Two Tables

RaRb <- left_join(Ra, Rb, by = c("date" = "date"))
RaRb
## # A tibble: 270 × 4
## # Groups:   symbol [6]
##    symbol date            Ra      Rb
##    <chr>  <date>       <dbl>   <dbl>
##  1 TSLA   2022-01-31 -0.219  -0.101 
##  2 TSLA   2022-02-28 -0.0708 -0.0343
##  3 TSLA   2022-03-31  0.238   0.0341
##  4 TSLA   2022-04-29 -0.192  -0.133 
##  5 TSLA   2022-05-31 -0.129  -0.0205
##  6 TSLA   2022-06-30 -0.112  -0.0871
##  7 TSLA   2022-07-29  0.324   0.123 
##  8 TSLA   2022-08-31 -0.0725 -0.0464
##  9 TSLA   2022-09-30 -0.0376 -0.105 
## 10 TSLA   2022-10-31 -0.142   0.0390
## # ℹ 260 more rows

Calculate CAPM

RaRb_capm <- RaRb %>%
    tq_performance(Ra = Ra, 
                   Rb = Rb, 
                   performance_fun = table.CAPM)
## Registered S3 method overwritten by 'robustbase':
##   method          from     
##   hatvalues.lmrob RobStatTM
RaRb_capm
## # A tibble: 6 × 18
## # Groups:   symbol [6]
##   symbol ActivePremium   Alpha AlphaRobust AnnualizedAlpha  Beta `Beta-`
##   <chr>          <dbl>   <dbl>       <dbl>           <dbl> <dbl>   <dbl>
## 1 TSLA         -0.0823 -0.0011     -0.0011         -0.0137 1.96   1.88  
## 2 AMZN         -0.0278 -0.0027      0.0008         -0.0317 1.35   1.50  
## 3 HD           -0.0721 -0.0023     -0.0022         -0.0272 0.701  0.212 
## 4 NVDA          0.509   0.0313      0.0282          0.447  2.12   2.87  
## 5 LLY           0.223   0.0259      0.0259          0.359  0.148  0.0679
## 6 UAA          -0.427  -0.0356     -0.0381         -0.353  1.30   0.332 
## # ℹ 11 more variables: `Beta-Robust` <dbl>, `Beta+` <dbl>, `Beta+Robust` <dbl>,
## #   BetaRobust <dbl>, Correlation <dbl>, `Correlationp-value` <dbl>,
## #   InformationRatio <dbl>, `R-squared` <dbl>, `R-squaredRobust` <dbl>,
## #   TrackingError <dbl>, TreynorRatio <dbl>

Which Stock has a positivity skewed distribution of returns

The skewed distribution of returns of the stocks

RaRb_skewness <- RaRb %>%
    tq_performance(Ra = Ra, 
                   Rb = NULL, 
                   performance_fun = skewness)
RaRb_skewness
## # A tibble: 6 × 2
## # Groups:   symbol [6]
##   symbol skewness.1
##   <chr>       <dbl>
## 1 TSLA       0.221 
## 2 AMZN       0.162 
## 3 HD        -0.156 
## 4 NVDA      -0.122 
## 5 LLY        0.0185
## 6 UAA        0.317

Positively skewed stock(s)

Based of the results that are shown above, in 2022, the following stocks have a positive skewness: TSLA, AMZN, LLY, and UAA.