Apply1--2-.knit

title: “Week 4: Apply 3” author: “Byron hartley” date: “2022-09-23” Get stock prices and convert to returns Get baseline and convert to returns Join the two tables Calculate CAPM Which stock has a positively skewed distribution of returns?

# Load packages
library(tidyverse)

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library(tidyquant)

## Warning: package 'tidyquant' was built under R version 4.4.3

## Registered S3 method overwritten by 'quantmod':
##   method            from
##   as.zoo.data.frame zoo

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Get stock prices and convert to returns

Ra <- c("WMT", "F", "AAPL") %>%
    tq_get(get  = "stock.prices",
           from = "2026-01-01") %>%
    group_by(symbol) %>%
    tq_transmute(select     = adjusted, 
                 mutate_fun = periodReturn, 
                 period     = "monthly", 
                 col_rename = "Ra")

Ra

## # A tibble: 27 × 3
## # Groups:   symbol [3]
##    symbol date            Ra
##    <chr>  <date>       <dbl>
##  1 WMT    2026-01-30  0.0566
##  2 WMT    2026-02-27  0.0739
##  3 WMT    2026-03-31 -0.0267
##  4 WMT    2026-04-30  0.0616
##  5 WMT    2026-05-29 -0.121 
##  6 WMT    2026-06-30 -0.0215
##  7 WMT    2026-07-31 -0.0182
##  8 WMT    2026-08-31 -0.0547
##  9 WMT    2026-09-22  0.0501
## 10 F      2026-01-30  0.0405
## # ℹ 17 more rows

Get baseline and convert to returns

Rb <- "^IXIC" %>%
    tq_get(get  = "stock.prices",
           from = "2026-01-01") %>%
    tq_transmute(select     = adjusted, 
                 mutate_fun = periodReturn, 
                 period     = "monthly", 
                 col_rename = "Rb")

## Warning in to_period(xx, period = on.opts[[period]], ...): missing values
## removed from data

Rb

## # A tibble: 9 × 2
##   date             Rb
##   <date>        <dbl>
## 1 2026-01-30  0.00973
## 2 2026-02-27 -0.0338 
## 3 2026-03-31 -0.0475 
## 4 2026-04-30  0.153  
## 5 2026-05-29  0.0836 
## 6 2026-06-30 -0.0281 
## 7 2026-07-31 -0.0320 
## 8 2026-08-31  0.0393 
## 9 2026-09-21  0.0285

Join the two tables

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

## # A tibble: 27 × 4
## # Groups:   symbol [3]
##    symbol date            Ra       Rb
##    <chr>  <date>       <dbl>    <dbl>
##  1 WMT    2026-01-30  0.0566  0.00973
##  2 WMT    2026-02-27  0.0739 -0.0338 
##  3 WMT    2026-03-31 -0.0267 -0.0475 
##  4 WMT    2026-04-30  0.0616  0.153  
##  5 WMT    2026-05-29 -0.121   0.0836 
##  6 WMT    2026-06-30 -0.0215 -0.0281 
##  7 WMT    2026-07-31 -0.0182 -0.0320 
##  8 WMT    2026-08-31 -0.0547  0.0393 
##  9 WMT    2026-09-22  0.0501 NA      
## 10 F      2026-01-30  0.0405  0.00973
## # ℹ 17 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: 3 × 18
## # Groups:   symbol [3]
##   symbol ActivePremium   Alpha AlphaRobust AnnualizedAlpha    Beta `Beta-`
##   <chr>          <dbl>   <dbl>       <dbl>           <dbl>   <dbl>   <dbl>
## 1 WMT          -0.304  -0.0055     -0.0054         -0.064  -0.0416   1.04 
## 2 F            -0.0849 -0.0013     -0.0037         -0.0161  1.52     4.47 
## 3 AAPL          0.0602  0.0111      0.0111          0.141   0.627    0.965
## # 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 positively skewed distribution of returns?

RaRb_capm <- RaRb %>%
    tq_performance(Ra = Ra, 
                   Rb = Rb, 
                   performance_fun = SkewnessKurtosisRatio)
RaRb_capm

## # A tibble: 3 × 2
## # Groups:   symbol [3]
##   symbol SkewnessKurtosisRatio.1
##   <chr>                    <dbl>
## 1 WMT                    -0.222 
## 2 F                       0.293 
## 3 AAPL                    0.0716