sandbox/script.buildFactors.R

In R-Finance/PortfolioAnalytics: Portfolio Analysis, including Numerical Methods for Optimization of Portfolios

# Acquire data for factors

# Script downloads, parses, and transforms data for a small set
# of common factors to be included as example data within 
# FactorAnalytics.  For more information, see the help file
# for ?factors

# Peter Carl

### Needed packages
require(gdata)
require(quantmod)
require(RQuantLib)
Sys.setenv(TZ="GMT")

## Set up required directory structure


### Equities
# Download the first sheet in the xls workbook directly from the S&P web site:
  x = read.xls("http://www.spindices.com/documents/additional-material/monthly.xlsx?force_download=true")
  rawdates = x[-1:-4,1]
  rawreturns = x[-1:-4,12]
  ISOdates = as.Date(as.yearmon(rawdates, "%m/%Y"), frac=1)
  totalreturns = as.numeric(as.character((sub("%", "", rawreturns, fixed=TRUE))))/100
  SP500.R=na.omit(as.xts(totalreturns, order.by=ISOdates))
  colnames(SP500.R)="SP500TR"
  # see parse.SP500TR.R in the FinancialInstrument package's inst/parsers directory for more detail


### Bonds
# Calculate total returns from the yeild of the 10 year constant maturity index maintained by the Fed
  getSymbols("GS10", src="FRED") #load US Treasury 10y yields from FRED
  # Dates should be end of month, not beginning of the month as reported
  index(GS10) = as.Date(as.yearmon(index(GS10)), frac=1)
  GS10.pr <- GS10  #set this up to hold price returns
  GS10.pr[1,1] <- 0
  colnames(GS10.pr) <- "Price Return"
  for (i in 1:(NROW(GS10)-1)) {
    GS10.pr[i+1,1] <- FixedRateBondPriceByYield(yield=GS10[i+1,1]/100, issueDate=Sys.Date(), maturityDate=advance("UnitedStates/GovernmentBond", Sys.Date(), 10, 3), rates=GS10[i,1]/100,period=2)[1]/100-1
  }
  # total return will be the price return + yield/12 for one month
  GS10.R <- GS10.pr + lag(GS10,k=1)/12/100
  colnames(GS10.R)<-"GS10TR"

  #@TODO: Calc the same for 2y and 5y


### Currencies
# Trade Weighted U.S. Dollar Index: Major Currencies - TWEXMMTH
  getSymbols("TWEXMMTH", src="FRED") # index values
  # Dates should be end of month, not beginning of the month as reported
  index(TWEXMMTH) = as.Date(as.yearmon(index(TWEXMMTH)), frac=1)
  USDI.R=ROC(TWEXMMTH)
  colnames(USDI.R)="USD Index"


### Credit Spread
# Yield spread of Merrill Lynch High-Yield Corporate Master II Index minus 10-year Treasury
  getSymbols("BAMLH0A0HYM2EY",src="FRED")
  BAMLH0A0HYM2EY.M=Cl(to.monthly(BAMLH0A0HYM2EY))
  index(BAMLH0A0HYM2EY.M) = as.Date(as.yearmon(index(BAMLH0A0HYM2EY.M)), frac=1)
  CREDIT=(BAMLH0A0HYM2EY.M-GS10)/100
  colnames(CREDIT)="Credit Spread"


### Liquidity
  getSymbols("TB3MS",src="FRED")
  index(TB3MS) = as.Date(as.yearmon(index(TB3MS)), frac=1)
  getSymbols("MED3",src="FRED")
  index(MED3) = as.Date(as.yearmon(index(MED3)), frac=1)
  TED=MED3/100-TB3MS/100
  colnames(TED)="TED Spread"


### Real estate
# Use the NAREIT index
  x = read.xls("http://returns.reit.com/returns/MonthlyHistoricalReturns.xls", pattern="Date", sheet="Index Data", stringsAsFactors=FALSE)
  x.dates = as.Date(as.yearmon(x[,1], format="%b-%y"), frac=1)
  REALESTATE.R = xts(x[,2]/100, order.by = x.dates)
  colnames(REALESTATE.R) = "NAREIT Returns"


### Commodities
## Use the DJUBS Commodities index
  x = read.xls("http://www.djindexes.com/mdsidx/downloads/xlspages/ubsci_public/DJUBS_full_hist.xls", sheet="Total Return")
  x=x[-1:-2,] # Get rid of the headings  
  x=x[-dim(x)[1],] # Get rid of the last line, which contains the disclaimer
  ISOdates = as.Date(x[,1], "%m/%d/%Y") # Get dates
  x.xts = as.xts(as.numeric(as.vector(x[,2])), order.by=ISOdates)
  x.m.xts = to.monthly(x.xts)
  x.m.xts = ROC(Cl(x.m.xts)) # Calc monthly returns
  index(x.m.xts)=as.Date(index(x.m.xts), frac=1)
  DJUBS.R = x.m.xts
  colnames(DJUBS.R)="DJUBSTR"


### Volatility
# as per Lo, the first difference of the end-of-month value of the CBOE Volatility Index (VIX)
  # Older VIX data is available at:
  # http://www.cboe.com/publish/ScheduledTask/MktData/datahouse/vixarchive.xls
  # Daily from 1990-2003
  x= read.xls( "http://www.cboe.com/publish/ScheduledTask/MktData/datahouse/vixarchive.xls" )
  ISOdates = as.Date(x[,1], "%m/%d/%y") # Get dates
  x.xts = as.xts(as.numeric(as.vector(x[,5])), order.by=ISOdates)
  x.m.xts = to.monthly(x.xts)
  getSymbols("VIXCLS", src="FRED")
  # Calculate monthly returns
  VIX=to.monthly(VIXCLS)
  VIX=rbind(x.m.xts,VIX)
  index(VIX)=as.Date(index(VIX), frac=1)
  dVIX=diff(Cl(VIX))
  colnames(dVIX)="dVIX"


### Term spread
# 10 year yield minus 3 month
  TERM = GS10/100-TB3MS/100
  colnames(TERM)="Term Spread"


### Gold
# Monthly return on gold spot price
# Fred London 3pm Fix: GOLDPMGBD228NLBM
  getSymbols("GOLDPMGBD228NLBM",src="FRED") # daily series
  GOLD=ROC(Cl(to.monthly(GOLDPMGBD228NLBM)))
  index(GOLD) = as.Date(as.yearmon(index(GOLD)), frac=1)


### Oil
# Monthly returns of spot price of West Texas Intermediate
  getSymbols("OILPRICE", src="FRED")
  index(OILPRICE) = as.Date(as.yearmon(index(OILPRICE)), frac=1)


### PUT
# Monthly returns of PUT Index
  # Retrieve in two pieces; first the historical from 1986 to 2006
  system("wget https://www.cboe.com/micro/put/PUT_86-06.xls")
  x = read.xls("PUT_86-06.xls")
  x=na.omit(x[-1:-4,1:2])
  ISOdates = as.Date(x[,1], "%d-%b-%Y") # Get dates
  PUT1 = xts(as.numeric(as.vector(x[,2])), order.by=ISOdates)
  # Next is current from 2007 on
  system("wget https://www.cboe.com/publish/ScheduledTask/MktData/datahouse/PUTDailyPrice.csv")
  y=read.csv("PUTDailyPrice.csv")
  y=y[-1:-4,]
  ISOdates = as.Date(y[,1], "%m/%d/%Y") # Get dates
  PUT2 = xts(as.numeric(as.vector(y[,2])), order.by=ISOdates)
  # Combine the two series
  PUT = rbind(PUT1,PUT2)
  colnames(PUT)="Close"
  PUT = ROC(Cl(to.monthly(PUT)))
  index(PUT) = as.Date(as.yearmon(index(PUT)), frac=1)
  # need to drop the last row if inter-month


factors=cbind(SP500.R, GS10.R, USDI.R, TERM, CREDIT, DJUBS.R, dVIX, TED, OIL.R, TB3MS/100) # GOLD.R, REALESTATE.R
factors=factors["1997::",]

## Create a chart of the factor set
asofdate= tail(index(factors),1)
labels=colnames(factors)
pdf(file=paste("Cumulative Factor Returns as of ", asofdate, ".pdf", sep=""), paper="letter", width=7.5, height=10)
op <- par(no.readonly=TRUE)
layout(matrix(c(1:NCOL(factors)), ncol = 1, byrow = TRUE), widths=1)
op <- par(oma = c(5,0,4,0), mar=c(0,4,0,4))
for(i in 1:NCOL(factors)){
  xaxis=FALSE
  yaxis=TRUE
  if(even(i))
    yaxis.right=TRUE
  else
    yaxis.right=FALSE
  if(i==NCOL(factors))
    xaxis = TRUE
  chart.TimeSeries(cbind(factors["1997::",i],SMA(na.locf(factors["1997::",i], n=12))), type="l", colorset=c("blue","lightblue"), ylog=FALSE, xaxis=xaxis, main="", ylab="", yaxis=yaxis, yaxis.right=yaxis.right, lwd=2)
  text(.9, .70*(par("usr")[4]), adj=c(0,1), cex = 1.1, labels = labels[i])
}
par(op)
mtext(expression(bold("Monthly Factor Returns")), side=3, outer=TRUE, line=-3, adj=0.1, col="black", cex=1.2)
mtext(paste("As of", asofdate), side=3, outer=TRUE, line=-3, adj=0.9, col="darkgray", cex=0.8)
dev.off()