Week7

library(PerformanceAnalytics)

## Warning: package 'PerformanceAnalytics' was built under R version 4.1.3

## Loading required package: xts

## Warning: package 'xts' was built under R version 4.1.3

## Loading required package: zoo

## Warning: package 'zoo' was built under R version 4.1.3

## 
## Attaching package: 'zoo'

## The following objects are masked from 'package:base':
## 
##     as.Date, as.Date.numeric

## 
## Attaching package: 'PerformanceAnalytics'

## The following object is masked from 'package:graphics':
## 
##     legend

library(xts)
library(lubridate)

## Warning: package 'lubridate' was built under R version 4.1.2

## 
## Attaching package: 'lubridate'

## The following objects are masked from 'package:base':
## 
##     date, intersect, setdiff, union

if(!require('base')) {
    install.packages('base')
    library('base')
}
# load data and create an xts dataset
fund<-read.csv("contrafund.csv")
fund$Date<-mdy(fund$Date)
fund2<-fund[order(fund$Date),]
#create an xts dataset
All.dat<-xts(fund2[,-1],order.by=fund2[,1],)

Return.cumulative(All.dat, geometric =TRUE)

##                   ContraRet Market.Return Risk.Free
## Cumulative Return  141.5677      69.29182  4.072008

chart.CumReturns(All.dat, wealth.index =FALSE, geometric = TRUE)

SharpeRatio(All.dat$ContraRet,All.dat$Risk.Free)

##                                  ContraRet
## StdDev Sharpe (Rf=0.4%, p=95%): 0.19010682
## VaR Sharpe (Rf=0.4%, p=95%):    0.12900607
## ES Sharpe (Rf=0.4%, p=95%):     0.05971594

TreynorRatio(All.dat$ContraRet,All.dat$Market.Return,All.dat$Risk.Free)

## [1] 0.1005838

All.dat<-transform(All.dat,MktExcess=Market.Return-Risk.Free,FundExcess=ContraRet-Risk.Free)
print("for some reason, the aliases above for FundExcess & MktExcess didn't work, had to insert the following from the dataframe as shown by")

## [1] "for some reason, the aliases above for FundExcess & MktExcess didn't work, had to insert the following from the dataframe as shown by"

head(All.dat)

##            ContraRet Market.Return Risk.Free Market.Return.1 ContraRet.1
## 1980-01-31  0.024391        0.0631    0.0080          0.0551    0.016391
## 1980-02-29 -0.016874       -0.0033    0.0089         -0.0122   -0.025774
## 1980-03-31 -0.089431       -0.1169    0.0121         -0.1290   -0.101531
## 1980-04-30  0.017857        0.0523    0.0126          0.0397    0.005257
## 1980-05-31  0.078947        0.0607    0.0081          0.0526    0.070847
## 1980-06-30  0.011743        0.0367    0.0061          0.0306    0.005643

print("ContraRet.1 & Market.Return.1")

## [1] "ContraRet.1 & Market.Return.1"

head(All.dat)

##            ContraRet Market.Return Risk.Free Market.Return.1 ContraRet.1
## 1980-01-31  0.024391        0.0631    0.0080          0.0551    0.016391
## 1980-02-29 -0.016874       -0.0033    0.0089         -0.0122   -0.025774
## 1980-03-31 -0.089431       -0.1169    0.0121         -0.1290   -0.101531
## 1980-04-30  0.017857        0.0523    0.0126          0.0397    0.005257
## 1980-05-31  0.078947        0.0607    0.0081          0.0526    0.070847
## 1980-06-30  0.011743        0.0367    0.0061          0.0306    0.005643

Alpha=lm(ContraRet.1 ~ Market.Return.1,data=All.dat)
summary(Alpha)

## 
## Call:
## lm(formula = ContraRet.1 ~ Market.Return.1, data = All.dat)
## 
## Residuals:
##       Min        1Q    Median        3Q       Max 
## -0.087553 -0.009588  0.001373  0.010343  0.060880 
## 
## Coefficients:
##                  Estimate Std. Error t value Pr(>|t|)    
## (Intercept)     0.0021850  0.0008362   2.613  0.00927 ** 
## Market.Return.1 0.9013625  0.0188580  47.797  < 2e-16 ***
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## Residual standard error: 0.01777 on 460 degrees of freedom
## Multiple R-squared:  0.8324, Adjusted R-squared:  0.832 
## F-statistic:  2285 on 1 and 460 DF,  p-value: < 2.2e-16