french risk return.r

#use Ken French momentum style indexes for style analysis
#http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/6_Portfolios_ME_Prior_12_2.zip

require(PerformanceAnalytics)
require(quantmod)

my.url="http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/6_Portfolios_ME_Prior_12_2.zip"
my.tempfile<-paste(tempdir(),"\\frenchmomentum.zip",sep="")
my.usefile<-paste(tempdir(),"\\6_Portfolios_ME_Prior_12_2.txt",sep="")
download.file(my.url, my.tempfile, method="auto", 
	quiet = FALSE, mode = "wb",cacheOK = TRUE)
unzip(my.tempfile,exdir=tempdir(),junkpath=TRUE)
#read space delimited text file extracted from zip
french_momentum <- read.table(file=my.usefile,
	header = TRUE, sep = "",
	as.is = TRUE,
	skip = 12, nrows=1017)
colnames(french_momentum) <- c(paste("Small",
	colnames(french_momentum)[1:3],sep="."),
	paste("Large",colnames(french_momentum)[1:3],sep="."))

#get dates ready for xts index
datestoformat <- rownames(french_momentum)
datestoformat <- paste(substr(datestoformat,1,4),
	substr(datestoformat,5,7),"01",sep="-")

#get xts for analysis
french_momentum_xts <- as.xts(french_momentum[,1:6],
	order.by=as.Date(datestoformat))

french_momentum_xts <- french_momentum_xts/100

chart.RiskReturnScatter(french_momentum_xts, xlim=c(0,0.40),
	main=paste("French Momentum Risk and Return
	Since ",format(index(french_momentum_xts)[1],"%b %Y"),sep=""),
	colorset=c("darkseagreen1","darkseagreen3","darkseagreen4",
	"slateblue1","slateblue3","slateblue4"))



#######do the same for industry
#my.url will be the location of the zip file with the data
my.url="http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/17_Industry_Portfolios.zip"
#this will be the temp file set up for the zip file
my.tempfile<-paste(tempdir(),"\\frenchindustry.zip",sep="")
#my.usefile is the name of the txt file with the data
my.usefile<-paste(tempdir(),"\\17_Industry_Portfolios.txt",sep="")
download.file(my.url, my.tempfile, method="auto", 
	quiet = FALSE, mode = "wb",cacheOK = TRUE)
unzip(my.tempfile,exdir=tempdir(),junkpath=TRUE)
#read space delimited text file extracted from zip
french_industry <- read.table(file=my.usefile,
	header = TRUE, sep = "",
	as.is = TRUE,
	skip = 11, nrows=1021)

#get dates ready for xts index
datestoformat <- rownames(french_industry)
datestoformat <- paste(substr(datestoformat,1,4),
	substr(datestoformat,5,7),"01",sep="-")

#get xts for analysis
french_industry_xts <- as.xts(french_industry[,1:17],
	order.by=as.Date(datestoformat))

french_industry_xts <- french_industry_xts/100

chart.RiskReturnScatter(french_industry_xts, xlim=c(0,0.40),
	main=paste("French Industry Risk and Return
	Since ",format(index(french_momentum_xts)[1],"%b %Y"),sep=""))