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Introduction to Portfolio Analysis in R

BasicSkill Level
4.7+
139 reviews
Updated 11/2023
Apply your finance and R skills to backtest, analyze, and optimize financial portfolios.
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RApplied Finance5 hr14 videos57 Exercises4,400 XP35,216Statement of Accomplishment

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Course Description

A golden rule in investing is to always test the portfolio strategy on historical data, and, once you are trading the strategy, to constantly monitor its performance. In this course, you will learn this by critically analyzing portfolio returns using the package PerformanceAnalytics. The course also shows how to estimate the portfolio weights that optimally balance risk and return. This is a data-driven course that combines portfolio theory with the practice in R, illustrated on real-life examples of equity portfolios and asset allocation problems. If you'd like to continue exploring the data after you've finished this course, the data used in the first three chapters can be obtained using the tseries-package.

Prerequisites

Intermediate R for Finance
1

The Building Blocks

Asset returns and portfolio weights; those are the building blocks of a portfolio return. This chapter is about computing those portfolio weights and returns in R.
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2

Analyzing Performance

The history of portfolio returns reveals valuable information about how much the investor can expect to gain or lose. This chapter introduces the R functionality to analyze the investment performance based on a statistical analysis of the portfolio returns. It includes graphical analysis and the calculation of performance statistics expressing average return, risk, and risk-adjusted return over rolling estimation samples.
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3

Performance Drivers

4

Optimizing the Portfolio

We have up to now considered the portfolio weights as given. In this chapter, you learn how to determine in R the portfolio weights that are optimal in terms of achieving a target return with minimum variance, while satisfying constraints on the portfolio weights.
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Introduction to Portfolio Analysis in R
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*4.7
from 139 reviews
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  • Anthony
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  • Mathias
    2 weeks ago

  • Ludovic
    4 weeks ago

  • Saquib
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  • Danish
    5 weeks ago

  • WULFRANO
    6 weeks ago

Anthony

Mathias

Ludovic

FAQs

Which R package is central to this course?

The course uses the PerformanceAnalytics package to analyze portfolio returns. Data for the first three chapters can also be obtained using the tseries package.

Does this course teach portfolio optimization?

Yes. The final chapter covers determining optimal portfolio weights that achieve a target return with minimum variance, while satisfying constraints on the weights.

What prior R knowledge is needed?

You should have completed Introduction to R for Finance and Intermediate R for Finance. No advanced statistics background is required since the course starts at a beginner level.

What performance metrics will I learn to calculate?

You learn to compute average return, risk, and risk-adjusted return statistics, along with rolling estimation analysis and graphical performance reviews.

Does this course use real equity data?

Yes. It is illustrated on real-life examples of equity portfolios and asset allocation problems, using actual historical return data.

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