CHAPTER 15

An Index Engine in R

From data frames to a reusable, tested index calculator

Opening question

“My Excel index works for five stocks and ten days. What happens when I need fifty stocks, eight years and eight indexes — and a colleague asks me to prove the numbers are right?”

In this chapter

Why move from a spreadsheet to code, and why R
Storing index data in a long table: code, date, price
calc_weights(): free-float weights with caps
build_shares() and a rebalancing schedule
calc_index(): the divisor, the price index and the total-return index
perf_stats(): annualised return, volatility, Sharpe ratio, maximum drawdown and beta
Unit tests with testthat
Charts with ggplot2 and plotly, and a small Shiny dashboard

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This chapter is in the full book

Chapter 1 is free to read online. The full text of chapter 15 — with its tables, figures, worked examples and practice lab — is available in the complete edition of Index Investing: From Theory to Practice (Volume 1, NXW Investment Library).

Read Chapter 1 free Get the full book — [email protected]

Sections of this chapter

15.1 From spreadsheet to script

15.2 The engine at a glance

15.3 Data structures: think long, calculate wide

15.4 Weights and index shares

15.5 The rebalancing schedule

15.6 calc_index(): divisor, price and total return

15.7 Performance and risk statistics

15.8 Testing the engine with testthat

15.9 From numbers to charts and a dashboard

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