计算 data.table 每个月不同数量股票的平均月收益

Question

Suppose I have a data.table, priceDT, with daily observations of returns on multiple shares like so:

> priceDT
          Date      Return Share
 1: 2011-01-03  0.04500000   GAI
 2: 2011-01-03 -0.02100000   KDV
 3: 2011-01-04  0.03300000   GAI
 4: 2011-01-04  0.01770000   KDV
 5: 2011-01-05 -0.01742000   GAI
 6: 2011-01-05  0.07900000   KDV
 7: 2011-02-06  0.02400000   GAI
 8: 2011-02-06 -0.02110000   KDV
 9: 2011-02-07 -0.04300000   AFT
10: 2011-02-07  0.01199700   AIP
11: 2011-02-07  0.00551810   ARH
12: 2011-02-07  0.07451101   BIK
13: 2011-02-07 -0.03495597   BLU
14: 2011-02-07 -0.06062462   CGR
15: 2011-02-07 -0.03660000   GAI
16: 2011-02-07 -0.01240000   KDV

I want to calculate the average monthly return of all shares in a given month. So in January of 2011, the average of the return of the two shares. We know it's only two shares because of the share column. The first step is to get the average return of each share in that month. Then get the average return of the portfolio of shares in that month. So in January, the average of GAI is 0.02019333 and the average of KDV is 0.02523333. The average for the month is therefore: 0.02019333

That is the logic of the portfolio return. I want to repeat in data.table for the rest of the months

For my sample data, I want a result like so:

portfolio

Date  avg_return
1: 2011-01  0.02271333
2: 2011-02 -0.008700561

Data:

priceDT <- fread(text = "Date, Return, Share
                 2011-01-03,0.045,GAI
                 2011-01-03,-0.021,KDV
                 2011-01-04,0.033,GAI
                 2011-01-04,0.0177,KDV
                 2011-01-05,-0.01742,GAI
                 2011-01-05,0.079,KDV
                 2011-02-06,0.024,GAI
                 2011-02-06,-0.0211,KDV
                 2011-02-07,-0.043,AFT
                 2011-02-07,0.011997,AIP
                 2011-02-07,0.0055181,ARH
                 2011-02-07,0.074511006,BIK
                 2011-02-07,-0.034955973,BLU
                 2011-02-07,-0.060624622,CGR
                 2011-02-07,-0.0366,GAI
                 2011-02-07,-0.0124,KDV
                 ")

portfolio <- fread(text = "Date, avg_return
                   2011-01,0.022713333
                   2011-02,-0.01194431
                   ")

Answer 1

Here is another approach, though my results do not match yours.

You can create a "year-month" column for grouping results. Following your steps, you can calculate the average share for each month (for each share), we'll call that ShareMean .

Then, you can calculate the average of these means, across all shares for a given month, we'll call that MonthMean .

Is this what you had in mind?

library(data.table)

priceDT[, YearMonth := list(substr(Date, 1, 7))]
priceDT[, .(ShareMean = mean(Return)), by = c("YearMonth", "Share")][
        , .(MonthMean = mean(ShareMean)), by = "YearMonth"]

Output

   YearMonth    MonthMean
1:   2011-01  0.022713333
2:   2011-02 -0.008700561

Answer 2

You can can calculate the montly return directly, i would do this like that:

library(tidyverse)
library(lubridate)

priceDT %>%
mutate(month =  month.abb[month(Date)]) %>%
group_by(month) %>%
summarise(avg_return = mean(Return))

( month.abb[month(Date)] for month abbreviation eg Jan, Feb)

or first calculate the average of a share for a given month:

priceDT %>%
 mutate(month =  month.abb[month(Date)]) %>%
 group_by(month,Share) %>%
 summarise(avg_return = mean(Return))

and then you can calculate the average monthly return as above.

Answer 3

priceDT[, mean(Return), by = .(ym = format(Date, "%Y-%m"), Share)
        ][, mean(V1), by = ym]
#         ym           V1
# 1: 2011-01  0.022713333
# 2: 2011-02 -0.008700561

Answer 4

I do not see how you make the step t get your monthly average return for all sharesd.... but maybe this will get you started?

#make dates
priceDT[, Date := as.Date( Date ) ]
# step 1: mean by share by month
priceDT[, .(avg_return = mean( Return, na.rm = TRUE) ), 
        by = .( month = format(Date, "%Y-%m"), Share ) ]

but fro here, I cannot see the logic to get to portfolio provided...