data-script/GetReturns.R

In alejandro-sotolongo/InvMgmt:

ticker <- c('spy', 'iwm', 'vtv', 'iwf', 'efa', 'vwo', 'tlt', 'ief', 'emb',
            'lqd', 'hyg', 'vnq', 'amj', 'igf', 'gnr', 'gld')
retl <- lapply(ticker, downloadTiingo, t_api = t_api)
ret <- combineRet(retl, freq = 'd', method = 'matrix', input_list = TRUE)
rf <- downloadFRED('DGS3MO') %>%
  fill(DGS3MO) %>%
  mutate(DGS3MO = (1 + DGS3MO / 100)^(1/252) - 1)
ff <- downloadFrench()
ar <- rollAbsorption(ret, n_pc = 3)
turb <- rollTurbulance(ret)
sys_risk <- full_join(ar, turb, by = 'date') %>%
  rename('delta.ar' = 'delta.x', 'delta.turb' = 'delta.y')
save(ret, rf, ff, sys_risk, file = 'data/ret.RData')