HW5-1
107035163
April 3, 2019
R Markdown
This is an R Markdown document. Markdown is a simple formatting syntax for authoring HTML, PDF, and MS Word documents. For more details on using R Markdown see http://rmarkdown.rstudio.com.
When you click the Knit button a document will be generated that includes both content as well as the output of any embedded R code chunks within the document. You can embed an R code chunk like this:
summary(cars)## speed dist
## Min. : 4.0 Min. : 2.00
## 1st Qu.:12.0 1st Qu.: 26.00
## Median :15.0 Median : 36.00
## Mean :15.4 Mean : 42.98
## 3rd Qu.:19.0 3rd Qu.: 56.00
## Max. :25.0 Max. :120.00Including Plots
You can also embed plots, for example:
Note that the echo = FALSE parameter was added to the code chunk to prevent printing of the R code that generated the plot.
#install.packages("quantmod")
# Import data from yahoo finance
library(quantmod)## Loading required package: xts## Loading required package: zoo##
## Attaching package: 'zoo'## The following objects are masked from 'package:base':
##
## as.Date, as.Date.numeric## Loading required package: TTR## Version 0.4-0 included new data defaults. See ?getSymbols.tickers = c("PEP", "AAPL", "SNE")
getSymbols(tickers, from = "2007-01-01", to= "2018-01-01", auto.assign = TRUE)## 'getSymbols' currently uses auto.assign=TRUE by default, but will
## use auto.assign=FALSE in 0.5-0. You will still be able to use
## 'loadSymbols' to automatically load data. getOption("getSymbols.env")
## and getOption("getSymbols.auto.assign") will still be checked for
## alternate defaults.
##
## This message is shown once per session and may be disabled by setting
## options("getSymbols.warning4.0"=FALSE). See ?getSymbols for details.## [1] "PEP" "AAPL" "SNE"data = new.env()
getSymbols(tickers, from = "2007-01-01", env = data , auto.assign = TRUE)## [1] "PEP" "AAPL" "SNE"ls(data)## [1] "AAPL" "PEP" "SNE"names(data)## [1] "PEP" "SNE" "AAPL" ".getSymbols"head(data$PEP)## PEP.Open PEP.High PEP.Low PEP.Close PEP.Volume PEP.Adjusted
## 2007-01-03 62.70 63.35 62.45 62.72 6161600 43.76391
## 2007-01-04 62.70 63.25 62.50 63.15 5414300 44.06393
## 2007-01-05 62.70 63.22 62.70 62.95 4542400 43.92438
## 2007-01-08 63.00 63.27 62.86 63.09 6122600 44.02206
## 2007-01-09 63.05 63.47 63.01 63.35 4916500 44.20349
## 2007-01-10 63.00 64.29 62.29 64.15 6427100 44.76170#
str(PEP)## An 'xts' object on 2007-01-03/2017-12-29 containing:
## Data: num [1:2769, 1:6] 62.7 62.7 62.7 63 63 ...
## - attr(*, "dimnames")=List of 2
## ..$ : NULL
## ..$ : chr [1:6] "PEP.Open" "PEP.High" "PEP.Low" "PEP.Close" ...
## Indexed by objects of class: [Date] TZ: UTC
## xts Attributes:
## List of 2
## $ src : chr "yahoo"
## $ updated: POSIXct[1:1], format: "2019-04-03 22:34:39"class(PEP)## [1] "xts" "zoo"tail(PEP,3)## PEP.Open PEP.High PEP.Low PEP.Close PEP.Volume PEP.Adjusted
## 2017-12-27 118.87 119.40 118.80 119.30 2465100 114.5373
## 2017-12-28 119.33 119.53 119.05 119.35 1999300 114.5853
## 2017-12-29 119.46 120.57 119.42 119.92 3116400 115.1325names(PEP)## [1] "PEP.Open" "PEP.High" "PEP.Low" "PEP.Close"
## [5] "PEP.Volume" "PEP.Adjusted"ls(PEP)## [1] "PEP.Adjusted" "PEP.Close" "PEP.High" "PEP.Low"
## [5] "PEP.Open" "PEP.Volume"head(PEP$PEP.Close)## PEP.Close
## 2007-01-03 62.72
## 2007-01-04 63.15
## 2007-01-05 62.95
## 2007-01-08 63.09
## 2007-01-09 63.35
## 2007-01-10 64.15PEP2007_15=PEP['2007/2018']
#Extract closing price: Cl(),
# Adjusted price: Ad()
PEP.ad<-Ad(PEP)
head(PEP.ad)## PEP.Adjusted
## 2007-01-03 43.76391
## 2007-01-04 44.06393
## 2007-01-05 43.92438
## 2007-01-08 44.02206
## 2007-01-09 44.20349
## 2007-01-10 44.76170class(PEP.ad)## [1] "xts" "zoo"# write function to gather adjusted prices together
firm3<-merge(Ad(PEP), Ad(AAPL), Ad(SNE))
head(firm3)## PEP.Adjusted AAPL.Adjusted SNE.Adjusted
## 2007-01-03 43.76391 7.982585 38.33660
## 2007-01-04 44.06393 8.159763 39.13174
## 2007-01-05 43.92438 8.101658 40.02516
## 2007-01-08 44.02206 8.141665 40.03409
## 2007-01-09 44.20349 8.817995 41.45463
## 2007-01-10 44.76170 9.239983 40.90070colnames(firm3)<-c("PEP", "AAPL", "SNE")
head(firm3)## PEP AAPL SNE
## 2007-01-03 43.76391 7.982585 38.33660
## 2007-01-04 44.06393 8.159763 39.13174
## 2007-01-05 43.92438 8.101658 40.02516
## 2007-01-08 44.02206 8.141665 40.03409
## 2007-01-09 44.20349 8.817995 41.45463
## 2007-01-10 44.76170 9.239983 40.90070library(magrittr)
simple_returns01<-function(x) {
coredata(x[-1,])/coredata(x[-length(x),]) - 1 %>%
na.omit()
}
head(simple_returns01(PEP.ad))## PEP.Adjusted
## [1,] 0.006855558
## [2,] -0.003167080
## [3,] 0.002223981
## [4,] 0.004121183
## [5,] 0.012628325
## [6,] 0.012470348# or to keep the index of dates
simple_returns02<-function(x) {
na.omit(x/lag(x) - 1)
}
head(simple_returns02(PEP.ad))## PEP.Adjusted
## 2007-01-04 0.006855558
## 2007-01-05 -0.003167080
## 2007-01-08 0.002223981
## 2007-01-09 0.004121183
## 2007-01-10 0.012628325
## 2007-01-11 0.012470348#
#install.packages("PerformanceAnalytics")
library(PerformanceAnalytics)##
## Attaching package: 'PerformanceAnalytics'## The following object is masked from 'package:graphics':
##
## legendhead(na.omit(Return.calculate(firm3)))## PEP AAPL SNE
## 2007-01-04 0.006855558 0.022195567 0.0207411993
## 2007-01-05 -0.003167080 -0.007120918 0.0228310295
## 2007-01-08 0.002223981 0.004938125 0.0002231097
## 2007-01-09 0.004121183 0.083070232 0.0354831577
## 2007-01-10 0.012628325 0.047855323 -0.0133621993
## 2007-01-11 0.012470348 -0.012371127 -0.0028396089firm3.week<-firm3 %>% to.weekly(indexAt = "lastof", OHLC=FALSE) %>%
Return.calculate()
head(firm3.week)## PEP AAPL SNE
## 2007-01-05 NA NA NA
## 2007-01-12 0.027799962 0.112521536 0.064285561
## 2007-01-19 0.001854649 -0.064679530 -0.013003295
## 2007-01-26 -0.005707795 -0.035254045 0.016362248
## 2007-02-02 0.009154046 -0.007378989 -0.004599995
## 2007-02-09 -0.017373753 -0.017463226 0.031296167firm3.day<-firm3 %>% to.daily(indexAt = "lastof", OHLC=FALSE) %>%
Return.calculate()
head(firm3.day)## PEP AAPL SNE
## 2007-01-31 NA NA NA
## 2007-01-31 0.006855558 0.022195567 0.0207411993
## 2007-01-31 -0.003167080 -0.007120918 0.0228310295
## 2007-01-31 0.002223981 0.004938125 0.0002231097
## 2007-01-31 0.004121183 0.083070232 0.0354831577
## 2007-01-31 0.012628325 0.047855323 -0.0133621993# Main problem: the return series are shown in calendar dates,
# not in trading dates
# Therefore, we use package PMwR instead!
#install.packages("PMwR")
library(PMwR)
head(returns(firm3))## PEP AAPL SNE
## 2007-01-04 0.006855558 0.022195567 0.0207411993
## 2007-01-05 -0.003167080 -0.007120918 0.0228310295
## 2007-01-08 0.002223981 0.004938125 0.0002231097
## 2007-01-09 0.004121183 0.083070232 0.0354831577
## 2007-01-10 0.012628325 0.047855323 -0.0133621993
## 2007-01-11 0.012470348 -0.012371127 -0.0028396089firm3.mon1<-returns(firm3, period = "month")
#options(digits = 5)
head(firm3.mon1)## [1] 0.04017827 -0.03203558 0.01128819 0.03980503 0.03389308 -0.04563658firm3.mon1## PEP AAPL SNE
## 2007-01-31 4.0 2.3 8.0
## 2007-02-28 -3.2 -1.3 11.7
## 2007-03-30 1.1 9.8 -2.2
## 2007-04-30 4.0 7.4 5.5
## 2007-05-31 3.4 21.4 8.3
## 2007-06-29 -4.6 0.7 -11.0
## 2007-07-31 1.2 8.0 2.7
## 2007-08-31 3.7 5.1 -9.4
## 2007-09-28 8.3 10.8 0.8
## 2007-10-31 0.6 23.8 2.9
## 2007-11-30 4.7 -4.1 9.1
## 2007-12-31 -1.2 8.7 0.6
## 2008-01-31 -10.3 -31.7 -12.5
## 2008-02-29 2.2 -7.6 -0.6
## 2008-03-31 4.4 14.8 -14.9
## 2008-04-30 -5.1 21.2 14.3
## 2008-05-30 -0.3 8.5 10.0
## 2008-06-30 -6.3 -11.3 -13.2
## 2008-07-31 4.7 -5.1 -13.9
## 2008-08-29 2.9 6.7 1.4
## 2008-09-30 4.7 -33.0 -18.6
## 2008-10-31 -20.0 -5.3 -24.7
## 2008-11-28 -0.5 -13.9 -16.6
## 2008-12-31 -2.6 -7.9 12.8
## 2009-01-30 -8.3 5.6 -12.1
## 2009-02-27 -4.2 -0.9 -13.8
## 2009-03-31 7.9 17.7 25.3
## 2009-04-30 -3.3 19.7 25.4
## 2009-05-29 4.6 7.9 1.4
## 2009-06-30 6.5 4.9 -1.4
## 2009-07-31 3.3 14.7 8.1
## 2009-08-31 -0.1 3.0 -4.4
## 2009-09-30 4.3 10.2 9.7
## 2009-10-30 3.2 1.7 0.7
## 2009-11-30 2.8 6.1 -9.2
## 2009-12-31 -1.6 5.4 8.7
## 2010-01-29 -1.9 -8.9 14.6
## 2010-02-26 4.8 6.5 2.6
## 2010-03-31 6.7 14.8 12.7
## 2010-04-30 -1.4 11.1 -10.7
## 2010-05-28 -3.6 -1.6 -10.1
## 2010-06-30 -2.3 -2.1 -13.3
## 2010-07-30 6.5 2.3 17.0
## 2010-08-31 -1.1 -5.5 -10.3
## 2010-09-30 5.1 16.7 11.1
## 2010-10-29 -1.7 6.1 9.4
## 2010-11-30 -1.0 3.4 4.8
## 2010-12-31 1.8 3.7 0.6
## 2011-01-31 -1.6 5.2 -3.8
## 2011-02-28 -1.4 4.1 7.3
## 2011-03-31 2.3 -1.3 -13.1
## 2011-04-29 7.0 0.5 -11.1
## 2011-05-31 3.2 -0.7 -5.5
## 2011-06-30 -0.2 -3.5 -1.3
## 2011-07-29 -9.1 16.3 -4.9
## 2011-08-31 1.4 -1.4 -12.5
## 2011-09-30 -3.9 -0.9 -12.7
## 2011-10-31 1.7 6.2 10.4
## 2011-11-30 2.5 -5.6 -13.9
## 2011-12-30 3.7 6.0 -0.1
## 2012-01-31 -1.0 12.7 1.0
## 2012-02-29 -3.4 18.8 17.4
## 2012-03-30 5.4 10.5 -2.0
## 2012-04-30 -0.5 -2.6 -22.0
## 2012-05-31 3.6 -1.1 -18.3
## 2012-06-29 4.1 1.1 7.6
## 2012-07-31 2.9 4.6 -14.7
## 2012-08-31 -0.4 12.3 -6.9
## 2012-09-28 -1.6 0.3 4.7
## 2012-10-31 -2.2 -10.8 0.3
## 2012-11-30 1.4 1.5 -17.0
## 2012-12-31 -1.8 -9.1 15.0
## 2013-01-31 6.5 -14.4 33.4
## 2013-02-28 4.8 1.0 -2.4
## 2013-03-28 4.4 0.3 20.4
## 2013-04-30 4.2 0.0 -5.6
## 2013-05-31 -2.1 6.5 22.6
## 2013-06-28 2.0 -11.8 5.2
## 2013-07-31 2.1 14.1 -0.7
## 2013-08-30 -4.6 12.8 -5.1
## 2013-09-30 0.4 -2.1 8.5
## 2013-10-31 5.8 9.6 -19.8
## 2013-11-29 0.4 10.9 6.1
## 2013-12-31 -1.1 0.9 -5.5
## 2014-01-31 -3.1 -10.8 -8.9
## 2014-02-28 -0.4 9.7 11.4
## 2014-03-31 5.0 2.0 9.7
## 2014-04-30 2.9 9.9 -7.7
## 2014-05-30 2.8 11.6 -8.3
## 2014-06-30 1.9 2.8 3.6
## 2014-07-31 -1.4 2.9 9.9
## 2014-08-29 5.0 7.8 3.7
## 2014-09-30 1.4 -1.7 -5.6
## 2014-10-31 3.3 7.2 9.9
## 2014-11-28 4.1 10.6 10.9
## 2014-12-31 -4.9 -7.2 -6.9
## 2015-01-30 -0.8 6.1 13.8
## 2015-02-27 5.5 10.1 21.6
## 2015-03-31 -2.7 -3.1 -5.4
## 2015-04-30 -0.5 0.6 12.9
## 2015-05-29 1.4 4.5 2.3
## 2015-06-30 -2.5 -3.7 -8.2
## 2015-07-31 3.2 -3.3 -0.1
## 2015-08-31 -3.5 -6.6 -9.1
## 2015-09-30 2.3 -2.2 -4.7
## 2015-10-30 8.4 8.3 15.9
## 2015-11-30 -2.0 -0.6 -8.7
## 2015-12-31 0.5 -11.0 -5.1
## 2016-01-29 -0.6 -7.5 -3.0
## 2016-02-29 -1.5 -0.1 -11.6
## 2016-03-31 5.5 12.7 22.2
## 2016-04-29 0.5 -14.0 -6.3
## 2016-05-31 -1.7 7.2 15.6
## 2016-06-30 5.5 -4.3 5.3
## 2016-07-29 2.8 9.0 13.8
## 2016-08-31 -1.3 2.4 -3.7
## 2016-09-30 1.9 6.6 3.5
## 2016-10-31 -1.4 0.4 -5.7
## 2016-11-30 -5.9 -2.2 -7.2
## 2016-12-30 4.5 4.8 -3.6
## 2017-01-31 -0.8 4.8 8.0
## 2017-02-28 6.4 13.4 2.3
## 2017-03-31 2.0 4.9 9.3
## 2017-04-28 1.3 0.0 2.3
## 2017-05-31 3.9 6.8 6.1
## 2017-06-30 -1.2 -5.7 4.3
## 2017-07-31 1.0 3.3 7.5
## 2017-08-31 -0.1 10.7 -3.5
## 2017-09-29 -3.7 -6.0 -5.5
## 2017-10-31 -1.1 9.7 16.3
## 2017-11-30 6.4 2.0 7.8
## 2017-12-29 2.9 -1.5 -4.0firm3.day<-returns(firm3)
head(firm3.day)## PEP AAPL SNE
## 2007-01-04 0.006855558 0.022195567 0.0207411993
## 2007-01-05 -0.003167080 -0.007120918 0.0228310295
## 2007-01-08 0.002223981 0.004938125 0.0002231097
## 2007-01-09 0.004121183 0.083070232 0.0354831577
## 2007-01-10 0.012628325 0.047855323 -0.0133621993
## 2007-01-11 0.012470348 -0.012371127 -0.0028396089head(merge(firm3, firm3.day))## PEP AAPL SNE PEP.1 AAPL.1
## 2007-01-03 43.76391 7.982585 38.33660 NA NA
## 2007-01-04 44.06393 8.159763 39.13174 0.006855558 0.022195567
## 2007-01-05 43.92438 8.101658 40.02516 -0.003167080 -0.007120918
## 2007-01-08 44.02206 8.141665 40.03409 0.002223981 0.004938125
## 2007-01-09 44.20349 8.817995 41.45463 0.004121183 0.083070232
## 2007-01-10 44.76170 9.239983 40.90070 0.012628325 0.047855323
## SNE.1
## 2007-01-03 NA
## 2007-01-04 0.0207411993
## 2007-01-05 0.0228310295
## 2007-01-08 0.0002231097
## 2007-01-09 0.0354831577
## 2007-01-10 -0.0133621993head(100* cumprod(1+firm3.day))## PEP AAPL SNE
## 2007-01-04 100.6856 102.2196 102.0741
## 2007-01-05 100.3667 101.4917 104.4046
## 2007-01-08 100.5899 101.9928 104.4279
## 2007-01-09 101.0044 110.4654 108.1333
## 2007-01-10 102.2800 115.7518 106.6884
## 2007-01-11 103.5554 114.3198 106.3854firm3.p.ret<-firm3.day %>% merge(firm3)
head(firm3.p.ret)## PEP.. AAPL.. SNE.. PEP.firm3 AAPL.firm3
## 2007-01-03 NA NA NA 43.76391 7.982585
## 2007-01-04 0.006855558 0.022195567 0.0207411993 44.06393 8.159763
## 2007-01-05 -0.003167080 -0.007120918 0.0228310295 43.92438 8.101658
## 2007-01-08 0.002223981 0.004938125 0.0002231097 44.02206 8.141665
## 2007-01-09 0.004121183 0.083070232 0.0354831577 44.20349 8.817995
## 2007-01-10 0.012628325 0.047855323 -0.0133621993 44.76170 9.239983
## SNE.firm3
## 2007-01-03 38.33660
## 2007-01-04 39.13174
## 2007-01-05 40.02516
## 2007-01-08 40.03409
## 2007-01-09 41.45463
## 2007-01-10 40.90070