Apply it to Your Data 3

Which of your Stock Beat the Market in 2022

Get Stock Prices and Convert to Returns

Ra <- c("JPM", "BAC", "WFC")  |>
  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: 171 × 3
## # Groups:   symbol [3]
##    symbol date            Ra
##    <chr>  <date>       <dbl>
##  1 JPM    2022-01-31 -0.0755
##  2 JPM    2022-02-28 -0.0458
##  3 JPM    2022-03-31 -0.0386
##  4 JPM    2022-04-29 -0.118 
##  5 JPM    2022-05-31  0.108 
##  6 JPM    2022-06-30 -0.148 
##  7 JPM    2022-07-29  0.0335
##  8 JPM    2022-08-31 -0.0141
##  9 JPM    2022-09-30 -0.0812
## 10 JPM    2022-10-31  0.215 
## # ℹ 161 more rows

Get Baseline and Convert to Returns

Rb <- "^IXIC"  |>
  tq_get(get  = "stock.prices", 
         from = "2022-01-01")   |>
  group_by(symbol) |>
  tq_transmute(select       = adjusted,
               mutate_fun   = periodReturn, 
               period       = "monthly",
               col_rename   = "Rb")
Rb

## # A tibble: 57 × 3
## # Groups:   symbol [1]
##    symbol date            Rb
##    <chr>  <date>       <dbl>
##  1 ^IXIC  2022-01-31 -0.101 
##  2 ^IXIC  2022-02-28 -0.0343
##  3 ^IXIC  2022-03-31  0.0341
##  4 ^IXIC  2022-04-29 -0.133 
##  5 ^IXIC  2022-05-31 -0.0205
##  6 ^IXIC  2022-06-30 -0.0871
##  7 ^IXIC  2022-07-29  0.123 
##  8 ^IXIC  2022-08-31 -0.0464
##  9 ^IXIC  2022-09-30 -0.105 
## 10 ^IXIC  2022-10-31  0.0390
## # ℹ 47 more rows

Join the Two Tables

RaRb <- left_join(Ra, Rb, by = c("date" = "date"))
RaRb

## # A tibble: 171 × 5
##    symbol.x date            Ra symbol.y      Rb
##    <chr>    <date>       <dbl> <chr>      <dbl>
##  1 JPM      2022-01-31 -0.0755 ^IXIC    -0.101 
##  2 JPM      2022-02-28 -0.0458 ^IXIC    -0.0343
##  3 JPM      2022-03-31 -0.0386 ^IXIC     0.0341
##  4 JPM      2022-04-29 -0.118  ^IXIC    -0.133 
##  5 JPM      2022-05-31  0.108  ^IXIC    -0.0205
##  6 JPM      2022-06-30 -0.148  ^IXIC    -0.0871
##  7 JPM      2022-07-29  0.0335 ^IXIC     0.123 
##  8 JPM      2022-08-31 -0.0141 ^IXIC    -0.0464
##  9 JPM      2022-09-30 -0.0812 ^IXIC    -0.105 
## 10 JPM      2022-10-31  0.215  ^IXIC     0.0390
## # ℹ 161 more rows

Calculate CAPM

RaRb_capm <- RaRb  |>
  tq_performance(Ra = Ra,
                 Rb = Rb,
                 performance_fun = table.CAPM,
                 scale = 12)
RaRb_capm

## # A tibble: 1 × 17
##   ActivePremium  Alpha AlphaRobust AnnualizedAlpha  Beta `Beta-` `Beta-Robust`
##           <dbl>  <dbl>       <dbl>           <dbl> <dbl>   <dbl>         <dbl>
## 1        0.0374 0.0074      0.0082          0.0929 0.658    1.23          1.31
## # ℹ 10 more variables: `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 Positive Skewed Distribution of Returns

Ra |>
  group_by(symbol) |>
  summarise(Skewness = PerformanceAnalytics::skewness(Ra))

## # A tibble: 3 × 2
##   symbol Skewness
##   <chr>     <dbl>
## 1 BAC     -0.0254
## 2 JPM      0.0710
## 3 WFC     -0.321

JP Morgan is the only company out of the three that has a positive skewed distribution of returns.