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# R code re: CapitalSpecator.com post for replicating indexes in R | |
# "Replicating Indexes In R With Style Analysis: Part I" | |
# http://www.capitalspectator.com/replicating-indexes-in-r-with-style-analysis-part-i/ | |
# 10 Oct 2017 | |
# By James Picerno | |
# http://www.capitalspectator.com/ | |
# (c) 2017 by Beta Publishing LLC | |
# load packages | |
library(quadprog) | |
library(PerformanceAnalytics) | |
library(quantmod) | |
require(Quandl) | |
# download price histories | |
Quandl.api_key("ABC123") # <-enter your Quandl API key here. | |
# Or use free price history at Tiingo.com or alphavantage.co | |
# to populate prices.1 file below | |
# | |
symbols <-c("XLF", "XLK", "XLI", "XLB", "XLY", "XLV", "XLU", "XLP", "XLE", "VOX", "VNQ", "SPY") | |
prices <- list() | |
for(i in 1:length(symbols)) { | |
price <- Quandl(paste0("EOD/", symbols[i]), start_date="2010-12-31", type = "xts")$Adj_Close | |
colnames(price) <- symbols[i] | |
prices[[i]] <- price | |
} | |
prices.1 <- na.omit(do.call(cbind, prices)) | |
dat1 <-ROC(prices.1,1,"discrete",na.pad=F) | |
# estimate weights | |
y.fund <-dat1[,12] # returns of target fund to replicate | |
x.funds <-dat1[,1:11] # returns of funds to reweight to replicate target fund | |
rows <-nrow(x.funds) | |
cols <-ncol(x.funds) | |
Dmat <-cov(x.funds, use="pairwise.complete.obs") | |
dvec <-cov(y.fund, x.funds, use="pairwise.complete.obs") | |
a1 <-rep(1, cols) | |
a2 <-matrix(0, cols, cols) | |
diag(a2) <- 1 | |
w.min <-rep(0, cols) | |
Amat <-t(rbind(a1, a2)) | |
b0 <-c(1, w.min) | |
optimal <- solve.QP(Dmat, dvec, Amat, bvec = b0, meq = 1) | |
weights <- as.data.frame(optimal$solution) | |
rownames(weights) = names(x.funds) | |
weights | |
# END |
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