# 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", "return"))

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 = return, 
                weights     = w_tbl,
                rebalace_on = "months",
                col_rename  = "returns")

portfolio_returns_tbl
## # A tibble: 60 × 2
##    date        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

5 Calculate Sharpe Ratio

# Define risk free rate 
rfr <- 0.0003

portfolio_SharpeRatio_tbl <- portfolio_returns_tbl %>%
    
    tq_performance(Ra = returns,
                   performance_fun = SharpeRatio,
                   Rf              = rfr,
                   FUN             = "StdDev")

6 Plot

Histogram of Returns with risk free rate+++

portfolio_returns_tbl %>%
    
    ggplot(aes(x = returns)) +
    geom_histogram(binwidth = 0.01, fill = "cornflowerblue", alpha = 0.5) +
    
    geom_vline(xintercept = rfr)

    annotate(geom   = "text",
              x     = rfr + 0.002, y = 13,
              label = "risk free rate",
              angle = 90)
## mapping: x = ~x, y = ~y 
## geom_text: na.rm = FALSE
## stat_identity: na.rm = FALSE
## position_identity