R/q_return_stats.R

In zac-garland/equityresearch: Equity Research in R

q_return_stats <- function(ticker,benchmark){

# Returns Data -----------------------------------
ticker_return <- q_return(ticker,
                          start_date = Sys.Date() - years(2),
                          frequency = "monthly")



bench_return <- q_return(benchmark,
                         start_date = Sys.Date() - years(2),
                         frequency = "monthly") %>%
  select(date,bench_return = monthly_return)




combined_returns <- left_join(ticker_return, bench_return, by = c("date" = "date"))




annualized_returns <- ticker_return %>%
  tq_performance(Ra = monthly_return,
                 performance_fun = table.AnnualizedReturns) %>%
  gather(key,value) %>%
  left_join(performance_labels, by = "key") %>%
  select(label,value) %>%
  mutate(value = round(value,2)) %>%
  arrange(label)



downside_risk <- ticker_return %>%
  tq_performance(Ra = monthly_return,
                 performance_fun = table.DownsideRisk) %>%
  gather(key,value) %>%
  left_join(performance_labels, by = "key") %>%
  select(label,value) %>%
  mutate(value = round(value,2)) %>%
  arrange(label)

drawdowns_ratio <- ticker_return %>%
  tq_performance(Ra = monthly_return,
                 performance_fun = table.DrawdownsRatio) %>%
  gather(key,value) %>%
  left_join(performance_labels, by = "key") %>%
  select(label,value) %>%
  mutate(value = round(value,2)) %>%
  arrange(label)


capm <- combined_returns %>%
  tq_performance(Ra = monthly_return,
                 Rb = bench_return,
                 performance_fun = table.CAPM) %>%
  gather(key,value) %>%
  slice(1:7) %>%
  left_join(performance_labels, by = "key") %>%
  select(label,value) %>%
  mutate(value = round(value,2)) %>%
  arrange(label)


information_ratio <- combined_returns %>%
  tq_performance(Ra = monthly_return,
                 Rb = bench_return,
                 performance_fun = table.InformationRatio) %>%
  gather(key,value) %>%
  left_join(performance_labels, by = "key") %>%
  select(label,value) %>%
  mutate(value = round(value,2)) %>%
  arrange(label)

specific_risk <- combined_returns %>%
  tq_performance(Ra = monthly_return,
                 Rb = bench_return,
                 performance_fun = table.SpecificRisk) %>%
  gather(key,value) %>%
  left_join(performance_labels, by = "key") %>%
  select(label,value) %>%
  mutate(value = round(value,2)) %>%
  arrange(label)

x <- bind_rows(annualized_returns,
               capm,
               downside_risk,
               drawdowns_ratio,
               information_ratio,
               specific_risk) %>%
  kable() %>%
  group_rows("Annualized Return Statistics",1,3) %>%
  group_rows("CAPM",4,10) %>%
  group_rows("Downside Risk",11,21) %>%
  group_rows("Drawdown Ratios",22,28) %>%
  group_rows("Information Ratio",29,31) %>%
  group_rows("Specific Risk",32,34)

gsub("<thead>.*</thead>", "", x)

}