inst/parsers/CFP.R

In JustinMShea/ExpectedReturns: Reproduction of Investment Strategies presented in Antti Ilmanen's Expected Returns and Investing Amid Low Expected Returns

# How Do Factor Premia Vary Over Time? A Century of Evidence, Factor Data Monthly
#
# Last Updated by AQR (reported): March 31, 2020
#
# Period: 1920-01-30 to 2020-05-29
#
# Source: https://www.aqr.com/Insights/Datasets/Century-of-Factor-Premia-Monthly

## Download in R environment
AQR.CFP.url <- "https://images.aqr.com/-/media/AQR/Documents/Insights/Data-Sets/Century-of-Factor-Premia-Monthly.xlsx"
AQR.CFP.raw <- openxlsx::read.xlsx(AQR.CFP.url, startRow = 16, detectDates = TRUE)

## Clean up
CFP <- na.trim(AQR.CFP.raw)

# Convert variables
CFP[, -1] <- apply(CFP[, -1], 2, as.numeric)
CFP$Date <- as.Date.character(CFP$X1, '%Y-%m-%d')
CFP <- xts::xts(CFP[, -1], order.by=CFP$Date)

tmp <- colnames(CFP)
# Rename asset classes
tmp <- gsub('Equity.indices', 'EQ', tmp)
tmp <- gsub('Fixed.income', 'FI', tmp)
tmp <- gsub('Commodities', 'CM', tmp)
tmp <- gsub('Currencies', 'FX', tmp)
tmp <- gsub('All.asset.classes', 'ALL', tmp)
tmp <- gsub('All.Macro', 'AM', tmp)
# Rename countries/regions
tmp <- gsub('US.Stock.Selection', 'US', tmp)
tmp <- gsub('Intl.Stock.Selection', 'INTL', tmp)
tmp <- gsub('All.Stock.Selection', 'GLOBAL', tmp)
# Rename Factors/Styles
tmp <- gsub('Value', 'VAL', tmp)
tmp <- gsub('Momentum', 'MOM', tmp)
tmp <- gsub('Carry', 'CARRY', tmp)
tmp <- gsub('Multistyle', 'MULTI', tmp)
# capitalize
tmp <- toupper(tmp)

# Give sort of names schema <style.(country | ...)>
variables.split <- strsplit(tmp[1:40], '\\.') # all except '*.MARKET'
variables.swapped <- sapply(variables.split, function(x) {
  paste(rev(x), collapse = '.')
})
variable.names <- c(variables.swapped, tmp[41:45])
variable.names
# Reassign names
colnames(CFP) <- variable.names

## Remove unused variables
rm(
  AQR.CFP.url
  , AQR.CFP.raw
  , tmp
  , variable.names
  , variables.split
  , variables.swapped
)