Analyzing Historical European Stock Index Performance

Historical stock index data can provide useful context for both personal and public policy questions. For example:

• Calibrating an individual's investment risk tolerance
• Benchmarking an individual's investment performance vs. market
• Estimating the performance of a country's corporate sector
• Investigating the impact of historical events on national markets

Through the European Index Portfolio app created using Shiny, you can perform your own customized analysis of four European markets: Germany (DAX), Switzerland (SMI), France (CAC) and the UK (FTSE).

The app allows a user to:

• Define an initial portfolio size up to 100,000
• Include a custom selection of 1-4 European indices
• Define a custom date window, from July 1, 1991 to August 25, 1998

Since the market data set is represented in business days, the app must implement an approximated weekend adjustment to enable usage of the calendar inputs to subset the time series.

getPerfWindow <- function(beginDate, endDate) {
  yrB <- year(beginDate)
  numWeeksB <- trunc(yday(beginDate)/7) 
  bizDaysB <- yday(beginDate)-numWeeksB*2
  yrE <- year(endDate)
  numWeeksE <- trunc(yday(endDate)/7)
  bizDaysE <- yday(endDate)-numWeeksE*2
  outTS <- window(EuStockMarkets, start = c(yrB,bizDaysB), end = c(yrE,bizDaysE))
  return(outTS)
}

Based on user input, the application will produce summary statistics on the returns and volatility of the selected indices, as well as the combined portfolio. For example, take a portfolio including all 4 indices from June 17, 1994 to April 5, 1996:

kable(getPerfStats(getPerfWindow('1994-06-17','1996-04-05')))