rolling.corr.27may2016.R

# R code re: CapitalSpecator.com post for generating rolling correlations for asset class fund proxies
# "Are Correlations Between Asset Classes Rising?"
# http://www.capitalspectator.com/are-correlations-between-asset-classes-rising/
# 27 May 2016
# By James Picerno
# http://www.capitalspectator.com/
# (c) 2016 by Beta Publishing LLC


# load packages
library(xts)
library(timeSeries)
library(tseries)
library(TTR)
library(quantmod)
library(PerformanceAnalytics)

# download fund prices
symbols <-c("SPY","IJS","EFA","EEM","IEF","LQD","VWEHX","RPIBX","PREMX","QRAAX","VGSIX")
getSymbols(symbols, src='yahoo', from='2003-12-31')

for(symbol in symbols) {
  x <- get(symbol)
  indexFormat(x) <- '%Y-%m-%d'
  colnames(x) <- gsub("x",symbol,colnames(x))
  x <- x[,6]
  assign(symbol,x)
}
  
# merge price histories into one data set   
prices <- do.call(merge, lapply(symbols, get))
colnames(prices) <-c(symbols)

# generate daily return series for funds
returns <-na.omit(ROC(prices,1,"discrete"))
colnames(prices) <-c("spy","ijs","efa","eem","ief","lqd","vwehx","rpibx","premx","qraax","vgsix")

# generate correlation matrix
corr.1 <- cor(returns,use="complete.obs")
up.tri <- upper.tri(corr.1)
fund.names <- paste(rownames(corr.1)[row(corr.1)[up.tri]],":",
                    rownames(corr.1)[col(corr.1)[up.tri]])
  
funds.corr <- na.omit(rollapply(returns,
                            width=756,
                            FUN = function(a)
                            {
                              return(cor(a,use="pairwise.complete.obs")[up.tri])
                            },
                            by.column=FALSE, align="right"))

colnames(funds.corr) <- fund.names

# generate median rolling 3-year correlation data for funds
corr.median <-as.xts(apply(funds.corr,1,median))

# review correlation matrix for first 3 funds
# corr.1[1:3,1:3]

# Extract correlation data for four pairs: SPY:IJS, SPY:EFA, SPY:EEM, SPY:IEF
funds.corr.a <-funds.corr[,c(1,2,4,7)]

### END