r - 在 data.table 中计算 fama french 因子

问题描述

我正在尝试计算 r 中的 fama french 因子。经过几天的汗水和绝望，我设法计算了 6 个各自投资组合的回报……只是发现了一个我似乎无法解决的问题。

我的数据大致是这样的，这只是一个简化的数据集来说明我的问题：

> TestX = data.table(Group = c("SM", "SM", "SM", "SH", "SH", "SH", "SL", "SL", "SL"), Date= as.Date(c("1995-07-30","1995-07-30","1995-07-30","1995-07-30","1995-07-30","1995-07-30","1995-07-30","1995-07-30", "1995-07-30")), Code= c("C1", "C2", "C3", "C4", "C5", "C6", "C7", "C8", "C9"), SMRet = c(2,3,3, NA, NA, NA, NA, NA, NA), SHRet = c(NA, NA, NA, 5,5,5, NA, NA, NA), SLRet = c(NA, NA, NA, NA, NA, NA, 0,1,2) )
> TestX
   Group       Date Code SMRet SHRet SLRet
1:    SM 1995-07-30   C1     2    NA    NA
2:    SM 1995-07-30   C2     3    NA    NA
3:    SM 1995-07-30   C3     3    NA    NA
4:    SH 1995-07-30   C4    NA     5    NA
5:    SH 1995-07-30   C5    NA     5    NA
6:    SH 1995-07-30   C6    NA     5    NA
7:    SL 1995-07-30   C7    NA    NA     0
8:    SL 1995-07-30   C8    NA    NA     1
9:    SL 1995-07-30   C9    NA    NA     2

Group 给出了组（SmallMedium、SmallHigh、SmallLow，我在真实的 data.table 中有其他组）。代码给出了各自的公司代码等。我想要做的是创建一个包含各自因素的新列。为此，我需要进行以下计算： (Smret+SHret+SLret)/3但是我该怎么做呢？

TestX[, Factor := (SMRet+SHRet+SLRet)/3, by = Date]

没用，我到处都是 NA。

  Group       Date Code SMRet SHRet SLRet Factor
1:    SM 1995-07-30   C1     2    NA    NA     NA
2:    SM 1995-07-30   C2     3    NA    NA     NA
3:    SM 1995-07-30   C3     3    NA    NA     NA
4:    SH 1995-07-30   C4    NA     5    NA     NA
5:    SH 1995-07-30   C5    NA     5    NA     NA
6:    SH 1995-07-30   C6    NA     5    NA     NA
7:    SL 1995-07-30   C7    NA    NA     0     NA
8:    SL 1995-07-30   C8    NA    NA     1     NA
9:    SL 1995-07-30   C9    NA    NA     2     NA

我还需要按日期分组。真实的data.table还有402个月。

提前致谢。

编辑：这是一个更好的 data.table 来说明我的问题

TestX = data.table(Group = c("SM", "SM", "SH", "SH", "SL", "SL", "SM", "SM", "SH", "SH", "SL", "SL"), Date= as.Date(c("1995-07-30","1995-07-30","1995-07-30","1995-07-30","1995-07-30","1995-07-30","1995-08-30","1995-08-30", "1995-08-30", "1995-08-30","1995-08-30","1995-08-30")), Code= c("C1", "C2", "C3", "C4", "C5", "C6", "C7", "C8", "C9", "c10", "c11", "12"), SMRet = c(2,3, NA, NA, NA, NA, 4, 5, NA, NA, NA, NA), SHRet = c(NA, NA, 5, 5, NA, NA, NA, NA, 3, 4, NA, NA), SLRet = c(NA, NA, NA, NA, 0, 1, NA,NA,NA, NA, 2,3))
> TestX

        Group       Date Code SMRet SHRet SLRet
     1:    SM 1995-07-30   C1     2    NA    NA
     2:    SM 1995-07-30   C2     3    NA    NA
     3:    SH 1995-07-30   C3    NA     5    NA
     4:    SH 1995-07-30   C4    NA     5    NA
     5:    SL 1995-07-30   C5    NA    NA     0
     6:    SL 1995-07-30   C6    NA    NA     1
     7:    SM 1995-08-30   C7     4    NA    NA
     8:    SM 1995-08-30   C8     5    NA    NA
     9:    SH 1995-08-30   C9    NA     3    NA
    10:    SH 1995-08-30  c10    NA     4    NA
    11:    SL 1995-08-30  c11    NA    NA     2
    12:    SL 1995-08-30   12    NA    NA     3

这是期望的结果：

    Group       Date Code SMRet SHRet SLRet   Factor
 1:    SM 1995-07-30   C1     2    NA    NA 5.333333
 2:    SM 1995-07-30   C2     3    NA    NA 5.333333
 3:    SH 1995-07-30   C3    NA     5    NA 5.333333
 4:    SH 1995-07-30   C4    NA     5    NA 5.333333
 5:    SL 1995-07-30   C5    NA    NA     0 5.333333
 6:    SL 1995-07-30   C6    NA    NA     1 5.333333
 7:    SM 1995-08-30   C7     4    NA    NA 7.000000
 8:    SM 1995-08-30   C8     5    NA    NA 7.000000
 9:    SH 1995-08-30   C9    NA     3    NA 7.000000
10:    SH 1995-08-30  c10    NA     4    NA 7.000000
11:    SL 1995-08-30  c11    NA    NA     2 7.000000
12:    SL 1995-08-30   12    NA    NA     3 7.000000

所以：每个月：(SMRet+ShRet+SLRet)/3

标签： rdata.tablefinance

r - 在 data.table 中计算 fama french 因子

问题描述

解决方案

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