CODEWITHSUNDEEP
r
Nick
Nick

Reputation: 37

Convert daily returns to monthly returns in r

We have daily returns from well over 100 mutual funds that we wish to convert into monthly returns. The monthly return should not be the average from each month, but the funds' return at the end of each month. The funds start and end at different points in time, and they need to remain by themself (not adding all mutual fund returns into 1 each month).

As of the picture one may see the dataframe (df) and parts of its content. The dates are in the first column and it needs to be sorted. enter image description here We would love some help to solve this problem.

I believe that it contains sufficient information be able to write the code.

DATA,dput(df5[1:50,])

  1. "Date" "Name" "Nav"
  2. 2012-01-02 Aktiva 10 121.738
  3. 2012-01-03 Aktiva 10 121.87
  4. 2012-01-04 Aktiva 10 121.906
  5. 2012-01-05 Aktiva 10 121.89
  6. 2012-01-06 Aktiva 10 121.949
  7. 2012-01-09 Aktiva 10 122.024
  8. 2012-01-10 Aktiva 10 122.205
  9. 2012-01-11 Aktiva 10 122.219
  10. 2012-01-12 Aktiva 10 122.324
  11. 2012-01-13 Aktiva 10 122.309
  12. 2012-01-16 Aktiva 10 122.45
  13. 2012-01-17 Aktiva 10 122.433
  14. 2012-01-18 Aktiva 10 122.483
  15. 2012-01-19 Aktiva 10 122.596
  16. 2012-01-20 Aktiva 10 122.548
  17. 2012-01-23 Aktiva 10 122.653
  18. 2012-01-24 Aktiva 10 122.507
  19. 2012-01-25 Aktiva 10 122.582
  20. 2012-01-26 Aktiva 10 122.783
  21. 2012-01-27 Aktiva 10 122.804
  22. 2012-01-30 Aktiva 10 122.749
  23. 2012-01-31 Aktiva 10 122.865
  24. 2012-02-01 Aktiva 10 123.044
  25. 2012-02-02 Aktiva 10 123.184
  26. 2012-02-03 Aktiva 10 123.32
  27. 2012-02-06 Aktiva 10 123.402
  28. 2012-02-07 Aktiva 10 123.322
  29. 2012-02-08 Aktiva 10 123.342
  30. 2012-02-09 Aktiva 10 123.421
  31. 2012-02-10 Aktiva 10 123.368
  32. 2012-02-13 Aktiva 10 123.418
  33. 2012-02-14 Aktiva 10 123.389
  34. 2012-02-15 Aktiva 10 123.558
  35. 2012-02-16 Aktiva 10 123.735
  36. 2012-02-17 Aktiva 10 123.636
  37. 2012-02-20 Aktiva 10 123.68
  38. 2012-02-21 Aktiva 10 123.701
  39. 2012-02-22 Aktiva 10 123.705
  40. 2012-02-23 Aktiva 10 123.663
  41. 2012-02-24 Aktiva 10 123.723
  42. 2012-02-27 Aktiva 10 123.77
  43. 2012-02-28 Aktiva 10 123.9
  44. 2012-02-29 Aktiva 10 123.91
  45. 2012-03-01 Aktiva 10 123.95
  46. 2012-03-02 Aktiva 10 124.02
  47. 2012-03-05 Aktiva 10 123.98
  48. 2012-03-06 Aktiva 10 123.74
  49. 2012-03-07 Aktiva 10 123.79
  50. 2012-03-08 Aktiva 10 123.92
  51. 2012-03-09 Aktiva 10 124.05

dput(df[1:50,]) data looks like this: 

structure(list(Date = structure(c(954720000, 954806400, 954892800, 
954979200, 955065600, 955324800, 955411200, 955497600, 955584000, 
955670400, 955929600, 956016000, 956102400, 956620800, 956707200, 
956793600, 956880000, 957225600, 957312000, 957398400, 957484800, 
957744000, 957830400, 957916800, 958003200, 958089600, 958348800, 
958435200, 958608000, 958694400, 958953600, 959040000, 959126400, 
959212800, 959299200, 959558400, 959644800, 959731200, 959904000, 
960163200, 960249600, 960336000, 960422400, 960508800, 960854400, 
960940800, 961027200, 961113600, 961372800, 961459200), class = c("POSIXct", 
"POSIXt"), tzone = "UTC"), SecurityId = c(45731, 45731, 45731, 
45731, 45731, 45731, 45731, 45731, 45731, 45731, 45731, 45731, 
45731, 45731, 45731, 45731, 45731, 45731, 45731, 45731, 45731, 
45731, 45731, 45731, 45731, 45731, 45731, 45731, 45731, 45731, 
45731, 45731, 45731, 45731, 45731, 45731, 45731, 45731, 45731, 
45731, 45731, 45731, 45731, 45731, 45731, 45731, 45731, 45731, 
45731, 45731), FundId = c(109, 109, 109, 109, 109, 109, 109, 
109, 109, 109, 109, 109, 109, 109, 109, 109, 109, 109, 109, 109, 
109, 109, 109, 109, 109, 109, 109, 109, 109, 109, 109, 109, 109, 
109, 109, 109, 109, 109, 109, 109, 109, 109, 109, 109, 109, 109, 
109, 109, 109, 109), Symbol = c("AI-NORS2", "AI-NORS2", "AI-NORS2", 
"AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", 
"AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", 
"AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", 
"AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", 
"AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", 
"AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", 
"AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", 
"AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2", "AI-NORS2"), 
    ISIN = c("NO0010089576", "NO0010089576", "NO0010089576", 
    "NO0010089576", "NO0010089576", "NO0010089576", "NO0010089576", 
    "NO0010089576", "NO0010089576", "NO0010089576", "NO0010089576", 
    "NO0010089576", "NO0010089576", "NO0010089576", "NO0010089576", 
    "NO0010089576", "NO0010089576", "NO0010089576", "NO0010089576", 
    "NO0010089576", "NO0010089576", "NO0010089576", "NO0010089576", 
    "NO0010089576", "NO0010089576", "NO0010089576", "NO0010089576", 
    "NO0010089576", "NO0010089576", "NO0010089576", "NO0010089576", 
    "NO0010089576", "NO0010089576", "NO0010089576", "NO0010089576", 
    "NO0010089576", "NO0010089576", "NO0010089576", "NO0010089576", 
    "NO0010089576", "NO0010089576", "NO0010089576", "NO0010089576", 
    "NO0010089576", "NO0010089576", "NO0010089576", "NO0010089576", 
    "NO0010089576", "NO0010089576", "NO0010089576"), Name = c("ABIF Norge ++", 
    "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", 
    "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", 
    "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", 
    "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", 
    "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", 
    "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", 
    "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", 
    "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", 
    "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", 
    "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", 
    "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", 
    "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", "ABIF Norge ++", 
    "ABIF Norge ++"), NAV = c(100, 99.4291, 93.5061, 96.9827, 
    98.3752, 98.9016, 96.932, 96.6528, 95.5597, 92.9564, 90.4477, 
    91.9742, 94.0813, 94.6611, 95.7128, 94.3541, 96.9792, 98.5621, 
    99.8926, 100.9441, 100.8709, 101.4863, 101.9841, 100.9585, 
    101.6321, 103.3527, 103.3474, 104.5718, 106.1602, 104.2994, 
    103.8382, 103.5229, 101.8999, 103.1289, 101.968, 101.0299, 
    102.4697, 102.1109, 104.3061, 103.2584, 102.2464, 101.8824, 
    102.7758, 103.4881, 103.2249, 103.9476, 103.5058, 104.2614, 
    103.3023, 103.4716), NAVAdj = c(98.149473714552, 97.5891383691156, 
    91.7757450410027, 95.1880096441628, 96.554741065638, 97.0713998952714, 
    95.1382478609895, 94.8642145303785, 93.7913426332048, 91.2362173839938, 
    88.7739415369168, 90.2721932531695, 92.3403008138088, 92.9093714624058, 
    93.9416094774617, 92.6080525781021, 95.1845744125828, 96.7381824320104, 
    98.0440611797826, 99.0761028958911, 99.004257481132, 99.6082693423714, 
    100.096857422522, 99.090236420106, 99.7513712750472, 101.44013111978, 
    101.434929197673, 102.636671353834, 104.195677594316, 102.369312187435, 
    101.916646814664, 101.607181524042, 100.014215565655, 101.220472597607, 
    100.081055357254, 99.1603151443382, 100.57347126688, 100.221310955192, 
    102.375888202174, 101.347576166067, 100.354303492076, 99.9970394077547, 
    100.873906805921, 101.573025507189, 101.314696092373, 102.024022338908, 
    101.590397964037, 102.332015387424, 101.390663785028, 101.556830844026
    ), Dividends = c(0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0), CorpAdj = c(1, 
    1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 
    1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 
    1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1), DividendAdj = c(0.98149473714552, 
    0.98149473714552, 0.98149473714552, 0.98149473714552, 0.98149473714552, 
    0.98149473714552, 0.98149473714552, 0.98149473714552, 0.98149473714552, 
    0.98149473714552, 0.98149473714552, 0.98149473714552, 0.98149473714552, 
    0.98149473714552, 0.98149473714552, 0.98149473714552, 0.98149473714552, 
    0.98149473714552, 0.98149473714552, 0.98149473714552, 0.98149473714552, 
    0.98149473714552, 0.98149473714552, 0.98149473714552, 0.98149473714552, 
    0.98149473714552, 0.98149473714552, 0.98149473714552, 0.98149473714552, 
    0.98149473714552, 0.98149473714552, 0.98149473714552, 0.98149473714552, 
    0.98149473714552, 0.98149473714552, 0.98149473714552, 0.98149473714552, 
    0.98149473714552, 0.98149473714552, 0.98149473714552, 0.98149473714552, 
    0.98149473714552, 0.98149473714552, 0.98149473714552, 0.98149473714552, 
    0.98149473714552, 0.98149473714552, 0.98149473714552, 0.98149473714552, 
    0.98149473714552), lnDeltaNAV = c(0, -0.00572535863116119, 
    -0.0614181525486561, 0.0365059372732999, 0.0142561276907758, 
    0.00533667668298765, -0.0201157147168702, -0.00288452599160749, 
    -0.011373992683045, -0.027620617044005, -0.0273587829153019, 
    0.016736319832737, 0.0226511991448142, 0.00614384286518277, 
    0.0110488958739232, -0.0142973147308307, 0.0274417964293168, 
    0.0161902838567531, 0.0134088024604093, 0.0104712894394297, 
    -0.000725416873969209, 0.0060823326001147, 0.00489310477802452, 
    -0.0101073774671372, 0.00664988881292139, 0.0167879804789104, 
    -5.12820264839675e-05, 0.0117777882336343, 0.0150753571586755, 
    -0.0176836646173788, -0.00443169090857154, -0.00304107417442001, 
    -0.0158018853966349, 0.0119887032476456, -0.0113206235496355, 
    -0.00924252593779595, 0.0141506324870466, -0.00350766756849463, 
    0.021270367882865, -0.0100952609714282, -0.00984899798499139, 
    -0.00356637951931749, 0.00873070978798651, 0.00690671350197469, 
    -0.00254652723566728, 0.00697682300028468, -0.00425927623174083, 
    0.0072735574356857, -0.00924156609376592, 0.0016375377920701
    ), lnDeltaOSEBX = c(0, -0.00940531538140732, -0.0515228085845063, 
    0.0330841053596203, 0.0149328822530661, 0.00140488772073599, 
    -0.0184601740944386, 0.00262641959218701, -0.012317562508172, 
    -0.0263240283504187, -0.0138437179343693, 0.0132849051679038, 
    0.0210929614810249, 0.0016248841643085, 0.00827607079901416, 
    -0.0154081787503344, 0.0261622502400947, 0.0179854981160581, 
    0.013271853834639, 0.0118876641774017, -0.000609937259577364, 
    0.00136092770291629, 0.00375227676786949, -0.00991727309818735, 
    0.00470404341043462, 0.0178788765076252, 0.000550091704436539, 
    0.015506961679753, 0.0137508866550915, -0.0167880781194372, 
    -0.00746925582682945, -0.00163624416898944, -0.0165229230024071, 
    0.0105430179398134, -0.0133781957394445, -0.00546854351296844, 
    0.00984014548362389, -0.00321159549991012, 0.018852089647897, 
    -0.00986344346201573, -0.0101602069993261, 0.000661533679649828, 
    0.0073117003894172, 0.00344172289439459, 0.00378742002574128, 
    0.0007234081265306, -0.00095362267457233, 0.00833764093971467, 
    -0.000905517713564841, -0.00730795598720579), lnDeltaOBX = c(0, 
    -0.00675924299385855, -0.0446627432412416, 0.0271511087647243, 
    0.0104352836056094, 0.00252750079747255, -0.0139940420412588, 
    0.000443962766651929, -0.0134847680574186, -0.0212769716066035, 
    -0.0129102509389352, 0.0167416215616996, 0.0179482930426307, 
    0.00615727334394656, 0.0110326474282347, -0.0133618870045504, 
    0.0222017092722471, 0.0151286494232705, 0.00551851236591716, 
    0.00800823957119601, -0.00142848216759983, 0.00617540558679863, 
    0.00572868073875021, -0.00951190548323133, 0.00500378510823829, 
    0.0164558409589644, -2.4488196690875e-05, 0.0111775180525235, 
    0.0216079600277741, -0.0195879405922108, -0.00801940591750494, 
    0.00259119504119276, -0.0135284308990071, 0.00875445456788881, 
    -0.0118997124506839, -0.0047675452047562, 0.0104833246950742, 
    -0.0035685318306351, 0.0184672492972027, -0.0092276363398982, 
    -0.0119552952128883, 0.00394764949324067, 0.00666321451700913, 
    0.00669200495886102, 0.00710600824465679, -0.00211320833357309, 
    0.00160644545155453, 0.0127356648288117, -0.00153836093566273, 
    -0.00467729378767778), lnDeltaOSEFX = c(0, -0.0132566852489493, 
    -0.054436017358416, 0.036447582787936, 0.0143346129652224, 
    0.00322243291943547, -0.0202744508590715, 0.00351120943021765, 
    -0.0139984771357593, -0.0264788767234734, -0.0224291179937897, 
    0.0147570608902363, 0.0256818445585978, 0.00382403430885514, 
    0.00892967356250907, -0.0176447368553463, 0.0257512997592757, 
    0.0177749823933526, 0.0117569174284275, 0.0136460053312675, 
    -0.00124573887812041, 0.00116160809454247, 0.00402634234849675, 
    -0.0105042345492476, 0.00589741004413469, 0.0189357154629182, 
    0.000452100549805046, 0.0149796051273769, 0.0122373634579906, 
    -0.0179535473500074, -0.00708298187974066, -0.000441760549906078, 
    -0.0169947891004751, 0.0138275915131079, -0.0149290919606084, 
    -0.00617441051640188, 0.0111232403312256, -0.00372148073099599, 
    0.0226673312134444, -0.00968981475443709, -0.00997237606061496, 
    -0.00060224703743561, 0.0086779720852439, 0.00319008738691462, 
    0.00133857674206705, 0.00058350744660185, -0.00325430504398128, 
    0.00767990023126242, -0.000607277053698674, -0.00564152856083044
    ), SMB = c(0.0123311034288627, 0.00915156609628357, -0.00158716760294442, 
    -0.0297416735452946, 0.0014191924545611, -0.0150755252076274, 
    0.0115701574233579, -0.00111340347515908, -0.00819114157880345, 
    -0.024104652357138, 0.0402172827616449, 0.00534146788916141, 
    -0.0154634888942257, 0.00354035521403617, 0.00206630945718951, 
    0.00110824503543285, 0.00577986123704642, -0.0091511299479988, 
    -0.00628038625739494, 0.00641233515248658, -0.00348433542025252, 
    0.00571653658752371, -0.00108622140744236, -0.00467826333193927, 
    0.0015293960849232, 0.0150302224117192, 0.0128782375422192, 
    0.00182479014151233, 0.0118018051325084, -0.00122505374600254, 
    0.0067581316644394, 0.00289618880797662, -0.00922587897314921, 
    -0.0112790492150875, -0.0131539668848055, -0.00483914410215184, 
    0.00392018158948877, -0.00654011695984795, -0.00245063806434721, 
    0.00390394664204772, -0.0119417973629864, 0.00391466483105893, 
    -0.00907824016648776, 0.00281885664081369, 0.0137050768450805, 
    0.0151027414136372, -0.00635772453077626, 0.0141303322841679, 
    -0.000411054109417454, -0.00821935988613381), HML = c(0.0811601046922382, 
    0.0263351665848042, 0.106475381968986, -0.0717486018918445, 
    -0.013401199905366, -0.0262830431094566, 0.0377662920323366, 
    -0.00983345919969417, 0.0384794311058455, 0.101128024713768, 
    0.0389117895270927, -0.0243149370435034, -0.0579205369141316, 
    -0.0174301787358929, 0.00261970745261295, 0.0318994811019162, 
    -0.0400042937351153, -0.00153694356567032, 0.0233985279797224, 
    -0.0401746710352116, 0.0190299884544687, 0.039648558170685, 
    0.0244504738247621, 0.0198792894699696, -0.00870600396129643, 
    -0.102281854622862, -0.00487726994595788, -0.0062245997679463, 
    0.0103673220988611, 0.0642078211928357, 0.000607234654230467, 
    -0.0371130284191367, 0.0309287156839412, -0.0234612031829678, 
    0.0733878599469245, 0.0385598691553834, -0.0278492201926123, 
    -0.0066708890999078, -0.0448929604242489, -0.0143415360857507, 
    -0.0238935048340895, 0.0108320873597463, -0.00762360971561658, 
    -0.00828199565147488, 0.0305644139491684, -0.0254099474698697, 
    0.0250996171797242, 0.00538982163947071, -0.00210515259916917, 
    -0.0195066162810241), LIQ = c(0.0157034253750779, 0.0227002836975072, 
    0.065738432925917, -0.0552351227361365, -0.020988058634736, 
    -0.0119287058062276, 0.0413731668748464, 0.012718095507565, 
    0.00369068026836507, 0.0276632935575419, 0.0370998398194863, 
    0.000314306564174449, -0.0340165785757102, 0.00816108559328334, 
    0.0196198820076372, 0.0206822207525292, -0.022369198083528, 
    -0.00547122285430531, -0.00349413197881119, 0.0154782104314266, 
    0.000385689216523621, 0.00781858322435598, -0.00871198187764726, 
    0.00431754203466546, -0.00946171019470503, 0.0107870226457883, 
    0.0151864839115862, -0.0116275474872604, -0.00141908832914339, 
    -0.000513165399929121, -0.00989121260626544, 0.00203118199429453, 
    -0.00133920286743205, 0.000513811721746565, -0.00890441247364418, 
    -0.000194479560384646, 0.00132777366732754, 0.0109845718520624, 
    -0.0131579761871903, 0.00169925198332302, -0.0175742369163852, 
    0.000469051062196477, 0.00340342712080001, -0.0105237634528422, 
    -0.000376810706883849, 0.0043542754059329, -0.00861982360414743, 
    0.0192809486833832, -0.0043442441716499, -0.0221072737122197
    ), MOM = c(0.0287454429557529, 0.0134782075274417, 0.00806633703967767, 
    -0.0294639612554887, 0.00283144507570127, -0.0117475999780675, 
    0.0271459089999048, -0.00805275416260212, -0.00491915532340628, 
    0.039267068265006, 0.00133730551324356, -0.00723365456343063, 
    -0.0226409142038954, 0.0145194649631461, 0.00724883603814357, 
    -0.00115205579341722, 0.016500139365733, -0.000185216749684504, 
    -0.00934779411541315, -0.0259092770501304, -0.00880067920625633, 
    0.00598712321696791, -0.000870616235833688, 0.00586781179120599, 
    0.00753842573531934, -0.00391557978990263, 0.0059364572892294, 
    -0.0135728247033562, 0.0132819781153358, 0.00189481246194319, 
    0.0103643573349146, 0.00298287034990829, 0.00989923925491796, 
    -0.0166922330388068, 0.0137537988848887, 0.0201338553207169, 
    -0.00545353385720432, -0.00659043125965345, -0.0233699553489148, 
    -0.0168952251152045, 0.00801157245015491, 0.00310250561711743, 
    -0.00582512011171042, 0.00948774604918234, 0.0156395952714775, 
    0.00142863409832036, 0.0112959563212738, -0.00791703211090294, 
    -0.0068101823373943, -0.000386985037747023)), row.names = c(NA, 
-50L), class = c("tbl_df", "tbl", "data.frame"))

Upvotes: 2

Views: 941

Answers (1)

Ben
Ben

Reputation: 30474

With tidyverse and lubridate you can do the following.

You can group_by month and then filter to show only the last row of data for each month. arrange is used to sort by Date just in case.

Edit: Also group_by year(Date) in this example. Results updated with new data provided.

library(tidyverse)
library(lubridate)

df %>%
  group_by(Name, Year = year(Date), Month = month(Date)) %>%
  arrange(Date) %>%
  filter(NAV == last(NAV))

Output

# A tibble: 3 x 21
# Groups:   Name, Year, Month [3]
  Date                SecurityId FundId Symbol ISIN  Name       NAV    NAVAdj Dividends CorpAdj DividendAdj   lnDeltaNAV lnDeltaOSEBX   lnDeltaOBX lnDeltaOSEFX
  <dttm>                   <dbl>  <dbl> <chr>  <chr> <chr>    <dbl>     <dbl>     <dbl>   <dbl>       <dbl>        <dbl>        <dbl>        <dbl>        <dbl>
1 2000-04-28 00:00:00      45731    109 AI-NO… NO00… ABIF…  96.9792  95.18457         0       1   0.9814947  0.02744180   0.02616225   0.02220171   0.02575130 
2 2000-05-31 00:00:00      45731    109 AI-NO… NO00… ABIF… 102.1109 100.2213          0       1   0.9814947 -0.003507668 -0.003211595 -0.003568532 -0.003721481
3 2000-06-20 00:00:00      45731    109 AI-NO… NO00… ABIF… 103.4716 101.5568          0       1   0.9814947  0.001637538 -0.007307956 -0.004677294 -0.005641529
# … with 6 more variables: SMB <dbl>, HML <dbl>, LIQ <dbl>, MOM <dbl>, Year <dbl>, Month <dbl>

Upvotes: 2

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