This is a talk I gave for the Toronto R users group on using various R packages for portfolio construction and optimization with the accompanying source code. So readers can see some of this tech applied to a real product I have included some unofficial (after fee) performance numbers for the Stance Equity product at the end of the deck.

We offer services in building and applying this for portfolio managers and institutional investors, if interested please reach out to me at the contact info here

library(Quandl) # see Quandl.com for more info
library(quantmod) #Has preconfigured api with yahoo info

##Quandl - Note requires assignment, type xts is xtensible time series
SPTSXComp=Quandl("YAHOO/INDEX_GSPTSE",type='xts')

##quantmod - assigns to object named GSPTSE - automatically in xts/zoo
getSymbols("^GSPTSE")

symbol_list = c('XLF','XLE','XLU','XLK','XLB','XLP','XLY','XLI','XLV')

getSymbols(symbol_list, from = '1990-01-01')
getSymbols("SPY",from='1990-01-01')

ls()

library(PerformanceAnalytics)
securities_matrix = NULL
for( sym in symbol_list){
  securities_matrix = merge.xts(securities_matrix,Return.calculate(Ad(get(paste(sym))),method='discrete'))
}

securities_matrix=securities_matrix[complete.cases(securities_matrix)]
SPYReturn=Return.calculate(Ad(SPY),method='discrete')
ls()

library(PerformanceAnalytics)
chart.CumReturns(securities_matrix)


library(PortfolioAnalytics)
MinimumVariancePortfolio=portfolio.spec(
  assets=colnames(securities_matrix))

MinimumVariancePortfolio=add.objective(
  portfolio=MinimumVariancePortfolio,
  type='risk',
  name='StdDev')

MinimumVariancePortfolio=add.constraint(
  portfolio = MinimumVariancePortfolio,
  type="full_investment")

MinimumVariancePortfolio=add.constraint(
  portfolio = MinimumVariancePortfolio,
  type="long_only")

MinimumVariancePortfolio=add.constraint(
  portfolio = MinimumVariancePortfolio,
  type="box",
  min=0,max=0.3)


OptimizedPortfolioMinVariance=optimize.portfolio(
  R=securities_matrix,
  portfolio=MinimumVariancePortfolio,
  trace=TRUE)

chart.Weights(OptimizedPortfolioMinVariance)


MeanVariancePortfolio=add.objective(
  portfolio=MinimumVariancePortfolio,
  type='return',
  name='mean')

OptimizedPortfolioMeanVariance=optimize.portfolio(
  R=securities_matrix,
  portfolio=MeanVariancePortfolio,
  trace=TRUE)

chart.Weights(OptimizedPortfolioMeanVariance)
OptimizedPortfolioMeanVariance$weights-OptimizedPortfolioMinVariance$weights

chart.RiskReward(OptimizedPortfolioMeanVariance,
                 return.col = 'mean',
                 risk.col = 'StdDev',
                 main='Risk to Return Plot of various Portfolio Combinations')

MinimumVarianceBT=optimize.portfolio.rebalancing(securities_matrix,MinimumVariancePortfolio,rebalance_on = 'years',training_period = 252,rolling_window = 252)
MeanVarianceBT=optimize.portfolio.rebalancing(securities_matrix,MeanVariancePortfolio,rebalance_on = 'years',training_period = 252,rolling_window = 252)

MinVariancePortfReturns=Return.rebalancing(R=securities_matrix,
                                           weights=extractWeights(MinimumVarianceBT))
colnames(MinVariancePortfReturns)=c('MinVariance')
MeanVariancePortfReturns=Return.rebalancing(R=securities_matrix,
                                            weights=extractWeights(MeanVarianceBT))
colnames(MeanVariancePortfReturns)=c('MeanVariance')
EqualWeightPortfReturns=Return.rebalancing(R=securities_matrix)
colnames(EqualWeightPortfReturns)=c('EqualWeight')

PortfolioComparisonData=merge.xts(MinVariancePortfReturns,
                                  MeanVariancePortfReturns,
                                  EqualWeightPortfReturns,
                                  SPYReturn)['2000-01-01/2016-10-25']
chart.CumReturns(PortfolioComparisonData,
                 main='Performance of Various Strategies',
                 legend.loc='topleft')


maxDrawdown(PortfolioComparisonData)


table.CAPM(PortfolioComparisonData[,1:3],
           PortfolioComparisonData[,4])[c(2,6,9,10,11,12),]