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#use Ken French market cap series
#http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/Portfolios_Formed_on_ME.zip
require(PerformanceAnalytics)
require(quantmod)
my.url="http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/Portfolios_Formed_on_ME.zip"
my.tempfile<-paste(tempdir(),"\\frenchsize.zip",sep="")
my.usefile<-paste(tempdir(),"\\Portfolios_Formed_on_ME.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_size <- read.table(file=my.usefile,
header = TRUE, sep = "",
as.is = TRUE,
skip = 13, nrows=1020)
#for simplicity use small mid large but series contains more granular also
colnames(french_size)[3:5] <- c("Small30","Mid40","Large30")
#get dates ready for xts index
datestoformat <- french_size[,1]
datestoformat <- paste(substr(datestoformat,1,4),
substr(datestoformat,5,7),"01",sep="-")
#get xts for analysis
french_size_xts <- as.xts(french_size[,3:5],
order.by=as.Date(datestoformat))
mycolors = c("indianred3","slateblue4","darkolivegreen4")
french_size_xts <- french_size_xts/100
#jpeg#"size risk return.jpeg",height=6.5,width=6.5,res=96,units="in")
chart.RiskReturnScatter(french_size_xts, main="Risk and Return by Size
U. S. Stocks Since 1926",xlim=c(0,0.35),colorset=mycolors)
mtext("Source: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french",
side=1,line=2,cex=0.8,adj=0)
#dev.off()
#jpeg#"size correlation.jpeg",height=6.5,width=6.5,res=96,units="in")
chart.Correlation(french_size_xts, main="Correlation by Size
U. S. Stocks Since 1926")
mtext("Source: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french",
side=1,line=2,cex=0.8,adj=0)
#dev.off()
frontier <- portfolioFrontier(as.timeSeries(french_size_xts))
pointsFrontier = frontierPoints(frontier, frontier = "both", auto=TRUE)
targetRisk = getTargetRisk(frontier@portfolio)[,1]
targetReturn = getTargetReturn(frontier@portfolio)[,1]
ans = cbind(Risk = targetRisk, Return = targetReturn)
colnames(ans) = c("targetRisk", "targetReturn")
rownames(ans) = as.character(1:NROW(ans))
#points(ans)
#jpeg#"size frontier.jpeg",height=6.5,width=6.5,res=96,units="in")
plot(ans,xlim=c(min(ans[,1]),max(ans[,1])+.025),ylim=c(0,0.016),type="l",lwd=2, xlab=NA,ylab=NA)
#frontierPlot(frontier, pch=19,title=FALSE,xlim=c(min(ans[,1]),max(ans[,1])+.025),ylim=c(0,0.016),add=FALSE)
#minvariancePoints(frontier,pch=19,col="red")
#tangencyPoints(frontier,pch=19,col="blue")
#tangencyLines(frontier,pch=19,col="blue")
equalWeightsPoints(frontier,pch=15,col="grey")
singleAssetPoints(frontier,pch=19,cex=1.5,col=mycolors)
#twoAssetsLines(frontier,lty=3,col="grey")
#sharpeRatioLines(frontier,col="orange",lwd=2)
#legend("topleft",legend=colnames(french_size_xts),pch=19,col=mycolors,
# cex=0.65)
#label assets
stats <- getStatistics(frontier)
text(y=stats$mean,x=sqrt(diag(stats$Cov)),labels=names(stats$mean),pos=4,col=mycolors,cex=0.7)
title(main="Efficient Frontier by Size since 1926",xlab="Risk(cov)",ylab="Monthly Return")
mtext("Source: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french",
side=1,line=2,cex=0.8,adj=0)
#dev.off()
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