Is there a R function which calculates the total french fama alpha in a data base per fund per year?

Question

Current code:

alpha_function <- function(x){
  group_by(wficn, caldt) %>%
  lm(mktrf~excess_return, data = CRSP_database) %>%
  tidy() %>%
  [[1]]$estimate
  return()
}

Data: date, fundno, mtna, mret, mnav, mktrf, smb, hml, umd, rf

Needed is a database showing the total alpha per fund per year. Or the beta of one fundno per year.

Can you rephrase? I'm having trouble parsing out your code and what you're asking for. — Phil, Jun 08 '22 at 20:15
We have a data base in which we need to find the beta's and alpha's for each separate fund for each seperate year. Currently using the following code: Returns_Database <- CRSP_Database %>% select(Wficn, caldt, Excess_Return, mktrf, smb, hml, umd, rf, mret ) %>% nest(data = !c("Wficn", "caldt")) %>% mutate(model = map(data ~ alpha_function)) %>% mutate( model, tidy)%>% unnest(model) — Thomas Hollemans, Jun 09 '22 at 09:21

score 0 · Answer 1 · answered Jun 09 '22 at 14:18

Try the below, but again it would be easier to help if you could provide an example of your data set to test it on.

alpha_function <- function(x){
  CRSP_database %>%
    group_by(wficn, caldt) %>%
    lm(mktrf~excess_return, data = .x) %>%
    tidy() %>%
    pluck("estimate")
}

Is there a R function which calculates the total french fama alpha in a data base per fund per year?

1 Answers1