# 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, 
                 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
weight <- c(0.25, 0.25, 0.2, 0.2, 0.1)
weight
## [1] 0.25 0.25 0.20 0.20 0.10
w_tbl <- tibble(symbols, weight)
w_tbl
## # A tibble: 5 × 2
##   symbols weight
##   <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, rebalance_on = "months")

portfolio_returns_tbl
## # A tibble: 60 × 2
##    date       portfolio.returns
##    <date>                 <dbl>
##  1 2013-01-31           0.0204 
##  2 2013-02-28          -0.00239
##  3 2013-03-28           0.0121 
##  4 2013-04-30           0.0174 
##  5 2013-05-31          -0.0128 
##  6 2013-06-28          -0.0247 
##  7 2013-07-31           0.0321 
##  8 2013-08-30          -0.0224 
##  9 2013-09-30           0.0511 
## 10 2013-10-31           0.0301 
## # ℹ 50 more rows

5 Plot

Scatterplot

portfolio_returns_tbl %>% 
    
    ggplot(mapping = aes(x = date, y = portfolio.returns)) +
geom_point( color = "cornflowerblue") +

# Formatting 
scale_x_date(date_breaks = "1 year", 
             date_labels = "%Y") +

# Labeling 
labs(y = "monthly returns", 
     x = NULL,
     title = "Portfolio Returns Scatter")

Histogram

portfolio_returns_tbl %>%
    
    ggplot(mapping = aes(x = portfolio.returns)) + 
geom_histogram(fill = "cornflowerblue", binwidth = 0.005) + 

labs(x = "returns", title = "Portfolio Returns Distribution")

Histogram & Density Plot

portfolio_returns_tbl %>%
    
    ggplot(mapping = aes(x = portfolio.returns)) + 
geom_histogram(fill = "cornflowerblue", binwidth = 0.01) + geom_density() + 
    
    # Formatting 
    scale_x_continuous(labels = scales::percent_format()) +

labs(x = "returns",
     y = "distribution", 
     title = "Portfolio Histogram & Density")