Goal

Visualize and examine changes in the underlying trend in the downside risk of your portfolio in terms of kurtosis.

Choose your stocks.

from 2012-12-31 to present

1 Import stock prices

2 Convert prices to returns (monthly)

3 Assign a weight to each asset (change the weigting scheme)

## [1] "AMZN" "GOOG" "NFLX"
## [1] 0.4 0.3 0.3
## # A tibble: 3 × 2
##   symbols weights
##   <chr>     <dbl>
## 1 AMZN        0.4
## 2 GOOG        0.3
## 3 NFLX        0.3

4 Build a portfolio

## # A tibble: 60 × 2
##    date        returns
##    <date>        <dbl>
##  1 2013-01-31  0.216  
##  2 2013-02-28  0.0545 
##  3 2013-03-28  0.00262
##  4 2013-04-30  0.0315 
##  5 2013-05-31  0.0539 
##  6 2013-06-28 -0.00525
##  7 2013-07-31  0.0791 
##  8 2013-08-30  0.00290
##  9 2013-09-30  0.0784 
## 10 2013-10-31  0.122  
## # … with 50 more rows

5 Compute kurtosis

## # A tibble: 1 × 1
##   Kurtosis
##      <dbl>
## 1    0.358

6 Plot: Rolling kurtosis

Has the downside risk of your portfolio increased or decreased over time? Explain using the plot you created. You may also refer to the skewness of the returns distribution you plotted in the previous assignment.

The downside risk of the portfolio has remained relatively similar with a slight increase over time. The kurtosis has stayed within 0.5 to -0.75 for almost the entirety of the rolling period. As time went on it slowly started to increase back into the positive kurtosis area.