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return_compare.qmd
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return_compare.qmd
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---
title: "compare_ret_series"
editor: visual
---
Load and clean data.
```{r}
library(tidyverse)
library(gt)
#load shiller long term returns
load(file="data/shiller.rdata")
returns_shiller <- shiller |>
mutate(year = year(date)) |>
select(year,stock_ret,bond_ret) |>
group_by(year) |>
summarise(stock_ret = prod(1 + stock_ret) - 1,
bond_ret = prod(1 + bond_ret) - 1) |>
mutate(source = "Shiller")|>
pivot_longer(cols = contains("_ret"),names_to = "asset",values_to = "ret")
# load McQuarrie long term returns
returns_mcquarrie <- read_table("data/mcquarrie_new_series_1793_to_1925.csv") |>
mutate(year = date) |>
# mutate(date = as.Date(paste0(date,"-12-01"))) |>
select(year,stock_ret,bond_ret) |>
mutate(across(contains("_ret"),~parse_number(.)/100)) |>
mutate(source = "McQuarrie") |>
pivot_longer(cols = contains("_ret"),names_to = "asset",values_to = "ret")
# append shiller post 1925 to mcquarrie
returns_mcquarrie <- returns_shiller |>
filter(year > 1925) |>
bind_rows(returns_mcquarrie) |>
arrange(year) |>
mutate(source = "McQuarrie")
returns <- bind_rows(returns_mcquarrie,returns_shiller)
```
Compare the two series return distributions
```{r}
returns |>
# filter(year >= 1870) |>
ggplot(aes(ret,color = source)) +
facet_wrap(vars(asset),scales="free") +
geom_density() +
theme_minimal()
```
Summarise the data
```{r}
start_year = 1871
end_year = 2023
returns |>
filter(year >= start_year & year <= end_year) |>
group_by(asset, source) |>
summarise(
mean = mean(ret),
median = median(ret),
vol = sd(ret),
n = n()
) |>
gt() |>
tab_header(title = "Annual Returns for Common History",
subtitle = glue::glue("{start_year} to {end_year}")) |>
fmt_percent(columns = c(mean,median,vol))
```
```{r}
start_year = 1793
end_year = 2023
returns |>
filter(year >= start_year & year <= end_year) |>
group_by(asset, source) |>
summarise(
mean = mean(ret),
median = median(ret),
vol = sd(ret),
n = n()
) |>
gt() |>
tab_header(title = "Annual Returns for Full Histories",
subtitle = glue::glue("{start_year}(McQuarrie) or 1870(Shiller) to {end_year}")) |>
fmt_percent(columns = c(mean,median,vol))
```