Skip to content
Permalink
Branch: master
Find file Copy path
Find file Copy path
Fetching contributors…
Cannot retrieve contributors at this time
220 lines (148 sloc) 6.3 KB

Momentum Decile Performance

The Fama-French data-set has returns for portfolios constructed out of each decile of prior returns. Labeled LO_PRIOR, PRIOR_2..9 and HI_PRIOR, they represent portfolios who's prior returns were the lowest through to the highest.

Here, we plot the returns of these portfolios to get a sense for how they have behaved through time.

The documentation for the Fama-French data-set can be found here and here

library(tidyverse)
library(ggthemes)
library(odbc)
library(plutoR)
library(quantmod)
library(lubridate)
library(reshape2)
library(PerformanceAnalytics)
library(ggrepel)
library(tbl2xts)

options("scipen"=999)
options(stringsAsFactors = FALSE)

source("config.R")
source("goofy/plot.common.R")

#initialize
famaFrench <- FamaFrench()
── �[1mAttaching packages�[22m ─────────────────────────────────────── tidyverse 1.2.1 ──
�[32m✔�[39m �[34mggplot2�[39m 3.2.1     �[32m✔�[39m �[34mpurrr  �[39m 0.3.2
�[32m✔�[39m �[34mtibble �[39m 2.1.3     �[32m✔�[39m �[34mdplyr  �[39m 0.8.3
�[32m✔�[39m �[34mtidyr  �[39m 0.8.3     �[32m✔�[39m �[34mstringr�[39m 1.4.0
�[32m✔�[39m �[34mreadr  �[39m 1.3.1     �[32m✔�[39m �[34mforcats�[39m 0.4.0
── �[1mConflicts�[22m ────────────────────────────────────────── tidyverse_conflicts() ──
�[31m✖�[39m �[34mdplyr�[39m::�[32mfilter()�[39m masks �[34mstats�[39m::filter()
�[31m✖�[39m �[34mdplyr�[39m::�[32mlag()�[39m    masks �[34mstats�[39m::lag()
Loading required package: xts
Loading required package: zoo

Attaching package:zooThe following objects are masked frompackage:base:

    as.Date, as.Date.numeric

Registered S3 method overwritten by 'xts':
  method     from
  as.zoo.xts zoo 

Attaching package:xtsThe following objects are masked frompackage:dplyr:

    first, last

Loading required package: TTR
Registered S3 method overwritten by 'quantmod':
  method            from
  as.zoo.data.frame zoo 
Version 0.4-0 included new data defaults. See ?getSymbols.

Attaching package:lubridateThe following object is masked frompackage:base:

    date


Attaching package:reshape2The following object is masked frompackage:tidyr:

    smiths


Attaching package:PerformanceAnalyticsThe following object is masked frompackage:graphics:

    legend

Registering fonts with R
calcYearlyReturns <- function(priceXts){
    yRets <- NULL
    for(j in 1:ncol(priceXts)){
        yRets <- merge.xts(yRets, yearlyReturn(priceXts[,j]))
    }
    
    names(yRets) <- names(priceXts)
    return(yRets)
}
#startDt <- (famaFrench$MomentumDaily() %>% summarize(MAX = min(TIME_STAMP)) %>% collect())$MAX[[1]]
startDt <- as.Date("1995-01-01")

#value (market-cap) weighted
valueWtd <- famaFrench$MomentumDaily() %>%
    filter(RET_TYPE == 'AVWRD' & TIME_STAMP >= startDt) %>%
    mutate(R = RET/100) %>%
    select(DATE = TIME_STAMP, KEY_ID, R) %>%
    collect() %>% 
    # the KEY_ID column has decile names HI_PRIOR...LO_PRIOR
    # we want HI_PRIOR...LO_PRIOR as column names
    mutate(group=1) %>%
    spread(KEY_ID, R) %>%
    select(-group)
    
valueWtdPx <- valueWtd %>% 
    # transform the return stream to prices
    # and convert to xts
    mutate_each(list(~ cumprod(. + 1) ), -DATE) %>% 
    tbl_xts() 

valueWtdYearlyRet <- 100*calcYearlyReturns(valueWtdPx)
valueWtdDailyRet <- valueWtd %>% 
    tbl_xts()

#equal weighted
equalWtd <- famaFrench$MomentumDaily() %>%
    filter(RET_TYPE == 'AEWRD' & TIME_STAMP >= startDt) %>%
    mutate(R = RET/100) %>%
    select(DATE = TIME_STAMP, KEY_ID, R) %>%
    collect() %>% 
    # the KEY_ID column has decile names HI_PRIOR...LO_PRIOR
    # we want HI_PRIOR...LO_PRIOR as column names
    mutate(group=1) %>%
    spread(KEY_ID, R) %>%
    select(-group)
    
equalWtdPx <- equalWtd %>% 
    # transform the return stream to prices
    # and convert to xts
    mutate_each(list(~ cumprod(. + 1) ), -DATE) %>% 
    tbl_xts() 

equalWtdYearlyRet <- 100*calcYearlyReturns(equalWtdPx)
equalWtdDailyRet <- equalWtd %>% 
    tbl_xts()
options(repr.plot.width=18, repr.plot.height=10)
Common.PlotCumReturns(valueWtdDailyRet, "Prior-Return Deciles (Value-weight)", "Fama-French")

png

Common.PlotCumReturns(equalWtdDailyRet, "Prior-Return Deciles (Equal-weight)", "Fama-French")

png

plotAnnualReturns <- function(yearlies, mainTitle){
    yDf <- data.frame(yearlies)
    yDf$T <- year(index(yearlies))

    toPlot <- melt(yDf, id='T')

    ggplot(toPlot, aes(x=T, y=value, fill=variable)) +
        theme_economist() +
        geom_bar(stat="identity", position=position_dodge()) +
        coord_flip() +
        scale_x_continuous(labels=yDf$T, breaks=yDf$T) +
        geom_text_repel(aes(label= round(value, 2)), position = position_dodge(0.9)) +
        labs(x='', y='(%)', fill='', title=mainTitle, subtitle="Annual Returns") +
        annotate("text", x=max(yDf$T), y=min(toPlot$value), 
                 label = "@StockViz", hjust=0, vjust=0, 
                 col="white", cex=6, fontface = "bold", alpha = 0.6)  
}
options(repr.plot.width=18, repr.plot.height=25)
plotAnnualReturns(valueWtdYearlyRet, "Fama-French Prior-Return Deciles (Value Weighted)")

png

plotAnnualReturns(equalWtdYearlyRet, "Fama-French Prior-Return Deciles (Equal Weighted)")

png

This notebook was created using pluto. Learn more here

You can’t perform that action at this time.