A Momentum Effect Screen for the Brazilian Stocks listed on B3
In the Smart-Beta literature, we have seminal contributions that originate from the following models: CAPM (Capital Asset Pricing Model giving the market risk factor) (Sharpe et al., 1964), Fama and French (1992-93) with the 3-Factors Model, Fama and French (2015) with the 5-Factors Model. In addition to the seminal works, we also have other factors that were added, such as the Momentum (or inertial effect) by Jegadeesh and Titman (1993), betting against Beta with Franzzini and Pedersen (2013) or the effect of Quality minus Junk from Azness, Franzzini and Pedersen (2017).
In today’s post we will focus on the momentum effect and in a practical form develop a script that can obtain the stocks data from companies listed on B3 and separate those that are in the tenth decile of the momentum effect.
The initial step is to clean workspace and load packages that we’ll use in the script:
library(readxl) # to read .xls files.
library(PortfolioAnalytics) # Useful functions to acumulate stocks' returns.
library(xtsanalytics) # Useful functions to download data from yahoo in data.frame format.
library(tidyquant) # Useful functions to use to manipulate data.
library(dplyr) # Useful functions to use to manipulate data.
library(data.table) # Useful functions to use with dataframes.
library(tidyr) # Useful functions to use to manipulate data.
library(ggplot2) # Beautiful plots.
library(ggrepel) # Useful to manipulate label in the plots.
rm(list=ls())Now let’s read an “.xls” file extracted in October 2021 from [Economática]https://economatica.com/ with the list of all active companies (for trading) listed on [B3]{https://www.b3.com.br/pt_br/}.
# Reading .xls file...
Lista_Acoes_10_21 <- read_excel("D:/Google Drive/Documentos Julio/Rstudio/Aprendizado/Finanças/Nova pasta/Lista_Acoes_10_21.xlsx")
# Looking to the first 20 rows
head(Lista_Acoes_10_21, 20)## # A tibble: 20 x 10
## ...1 Nome Classe `Bolsa / Fonte` `Tipo de Ativo~` `Ativo /\r\nCa~` Código
## <dbl> <chr> <chr> <chr> <chr> <chr> <chr>
## 1 1 3r Pet~ ON Bovespa Ação ativo RRRP3
## 2 2 Abc Br~ PN Bovespa Ação ativo ABCB4
## 3 3 Aeris ON Bovespa Ação ativo AERI3
## 4 4 AES Br~ ON Bovespa Ação ativo AESB3
## 5 5 Alians~ ON Bovespa Ação ativo ALSO3
## 6 6 Alliar ON Bovespa Ação ativo AALR3
## 7 7 Allied ON Bovespa Ação ativo ALLD3
## 8 8 Alparg~ PN Bovespa Ação ativo ALPA4
## 9 9 Alupar UNT N2 Bovespa Ação ativo ALUP11
## 10 10 Ambev ~ ON Bovespa Ação ativo ABEV3
## 11 11 Ambipar ON Bovespa Ação ativo AMBP3
## 12 12 Americ~ ON Bovespa Ação ativo AMER3
## 13 13 Anima ON Bovespa Ação ativo ANIM3
## 14 14 Arezzo~ ON Bovespa Ação ativo ARZZ3
## 15 15 Armac ON Bovespa Ação ativo ARML3
## 16 16 Assai ON Bovespa Ação ativo ASAI3
## 17 17 Azul PN Bovespa Ação ativo AZUL4
## 18 18 B3 ON Bovespa Ação ativo B3SA3
## 19 19 Banco ~ ON Bovespa Ação ativo BIDI3
## 20 20 Banco ~ PN Bovespa Ação ativo BIDI4
## # ... with 3 more variables: `Ativo /\r\nCancelado...8` <chr>,
## # `Tipo de Ativo...9` <chr>,
## # `Media\r\nnulos = 0\r\ndo volume$\r\nem 1 mês\r\n(de 27Ago21\r\naté 26Set21)\r\nEm moeda orig\r\nem milhares` <dbl>Now let’s select the dataframe information that we are interested in. In this case it is the “código” column and we need to concatenate the expression “.SA” to the label. After that, let’s download it through the functions compatible with yahoofinance.
# Tickers to Download...
Tickers <- paste0(Lista_Acoes_10_21$Código, '.SA')
# First and Last Dates.
Data_inicial <- "2020-01-01"
Data_final <- Sys.Date()
# Dataframe downloaded with closing prices
Precos_Acoes <- mget_symbols(Tickers,
OHLC = "Ad",
from = Data_inicial)## Getting data from yahoo...
## Downloading symbols: RRRP3.SA ABCB4.SA AERI3.SA AESB3.SA ALSO3.SA AALR3.SA ALLD3.SA ALPA4.SA ALUP11.SA ABEV3.SA AMBP3.SA AMER3.SA ANIM3.SA ARZZ3.SA ARML3.SA ASAI3.SA AZUL4.SA B3SA3.SA BIDI3.SA BIDI4.SA BIDI11.SA BPAN4.SA BRSR6.SA BBSE3.SA BMOB3.SA BKBR3.SA BLAU3.SA BOAS3.SA BRML3.SA BRBI11.SA BRPR3.SA BBDC3.SA BBDC4.SA BRAP3.SA BRAP4.SA BBAS3.SA AGRO3.SA BRKM5.SA BRFS3.SA BPAC11.SA CXSE3.SA CAML3.SA CRFB3.SA CBAV3.SA CCRO3.SA CEAB3.SA CMIG4.SA CESP6.SA CIEL3.SA CLSA3.SA COGN3.SA CSMG3.SA CPLE3.SA CPLE6.SA CPLE11.SA CSAN3.SA CPFE3.SA CMIN3.SA CVCB3.SA CYRE3.SA DXCO3.SA PNVL3.SA DIRR3.SA ECOR3.SA ELET3.SA ELET6.SA EMBR3.SA ENAT3.SA ENBR3.SA ENGI11.SA ENEV3.SA EGIE3.SA ENJU3.SA EQTL3.SA ESPA3.SA ETER3.SA EVEN3.SA EZTC3.SA FHER3.SA FESA4.SA FLRY3.SA GFSA3.SA GGBR4.SA GOAU4.SA GOLL4.SA GGPS3.SA GRND3.SA GMAT3.SA NTCO3.SA SBFG3.SA SOMA3.SA HAPV3.SA HBSA3.SA HYPE3.SA IGTA3.SA PARD3.SA MEAL3.SA ROMI3.SA IFCM3.SA INTB3.SA GNDI3.SA MYPK3.SA RANI3.SA IRBR3.SA ITSA4.SA ITUB3.SA ITUB4.SA JBSS3.SA JHSF3.SA KEPL3.SA KLBN11.SA LIGT3.SA RENT3.SA LCAM3.SA LWSA3.SA LOGG3.SA LOGN3.SA LAME3.SA LAME4.SA AMAR3.SA LREN3.SA MDIA3.SA MGLU3.SA MRFG3.SA CASH3.SA LEVE3.SA BEEF3.SA MOSI3.SA MOVI3.SA MRVE3.SA MLAS3.SA MULT3.SA NEOE3.SA OPCT3.SA ODPV3.SA OIBR3.SA OMGE3.SA ONCO3.SA ORVR3.SA PCAR3.SA PGMN3.SA PETR3.SA PETR4.SA RECV3.SA PRIO3.SA PETZ3.SA PSSA3.SA PTBL3.SA POSI3.SA QUAL3.SA LJQQ3.SA RADL3.SA RAIZ4.SA RAPT4.SA RCSL3.SA RDOR3.SA RAIL3.SA SBSP3.SA SAPR4.SA SAPR11.SA SANB11.SA STBP3.SA SMTO3.SA SEQL3.SA SEER3.SA CSNA3.SA SIMH3.SA SQIA3.SA SLCE3.SA SMFT3.SA SULA11.SA SUZB3.SA TAEE11.SA TASA4.SA TRAD3.SA TECN3.SA VIVT3.SA TEND3.SA TIMS3.SA TOTS3.SA TRPL4.SA TRIS3.SA TPIS3.SA TUPY3.SA UGPA3.SA UNIP6.SA USIM5.SA VALE3.SA VAMO3.SA VIIA3.SA VBBR3.SA VIVA3.SA VIVR3.SA WEGE3.SA WIZS3.SA YDUQ3.SA
##
## Successfully downloaded symbol: RRRP3.SA
## Successfully downloaded symbol: ABCB4.SA
## Successfully downloaded symbol: AERI3.SA
## Successfully downloaded symbol: AESB3.SA
## Successfully downloaded symbol: ALSO3.SA
## Successfully downloaded symbol: AALR3.SA
## Successfully downloaded symbol: ALLD3.SA
## Successfully downloaded symbol: ALPA4.SA
## Successfully downloaded symbol: ALUP11.SA
## Successfully downloaded symbol: ABEV3.SA
## Successfully downloaded symbol: AMBP3.SA
## Successfully downloaded symbol: AMER3.SA
## Successfully downloaded symbol: ANIM3.SA
## Successfully downloaded symbol: ARZZ3.SA
## Successfully downloaded symbol: ARML3.SA
## Successfully downloaded symbol: ASAI3.SA
## Successfully downloaded symbol: AZUL4.SA
## Successfully downloaded symbol: B3SA3.SA
## Successfully downloaded symbol: BIDI3.SA
## Successfully downloaded symbol: BIDI4.SA
## Successfully downloaded symbol: BIDI11.SA
## Successfully downloaded symbol: BPAN4.SA
## Successfully downloaded symbol: BRSR6.SA
## Successfully downloaded symbol: BBSE3.SA
## Successfully downloaded symbol: BMOB3.SA
## Successfully downloaded symbol: BKBR3.SA
## Successfully downloaded symbol: BLAU3.SA
## Successfully downloaded symbol: BOAS3.SA
## Successfully downloaded symbol: BRML3.SA
## Successfully downloaded symbol: BRBI11.SA
## Successfully downloaded symbol: BRPR3.SA
## Successfully downloaded symbol: BBDC3.SA
## Successfully downloaded symbol: BBDC4.SA
## Successfully downloaded symbol: BRAP3.SA
## Successfully downloaded symbol: BRAP4.SA
## Successfully downloaded symbol: BBAS3.SA
## Successfully downloaded symbol: AGRO3.SA
## Successfully downloaded symbol: BRKM5.SA
## Successfully downloaded symbol: BRFS3.SA
## Successfully downloaded symbol: BPAC11.SA
## Successfully downloaded symbol: CXSE3.SA
## Successfully downloaded symbol: CAML3.SA
## Successfully downloaded symbol: CRFB3.SA
## Successfully downloaded symbol: CBAV3.SA
## Successfully downloaded symbol: CCRO3.SA
## Successfully downloaded symbol: CEAB3.SA
## Successfully downloaded symbol: CMIG4.SA
## Successfully downloaded symbol: CESP6.SA
## Successfully downloaded symbol: CIEL3.SA
## Successfully downloaded symbol: CLSA3.SA
## Successfully downloaded symbol: COGN3.SA
## Successfully downloaded symbol: CSMG3.SA
## Successfully downloaded symbol: CPLE3.SA
## Successfully downloaded symbol: CPLE6.SA
## Successfully downloaded symbol: CPLE11.SA
## Successfully downloaded symbol: CSAN3.SA
## Successfully downloaded symbol: CPFE3.SA
## Successfully downloaded symbol: CMIN3.SA
## Successfully downloaded symbol: CVCB3.SA
## Successfully downloaded symbol: CYRE3.SA
## Successfully downloaded symbol: DXCO3.SA
## Successfully downloaded symbol: PNVL3.SA
## Successfully downloaded symbol: DIRR3.SA
## Successfully downloaded symbol: ECOR3.SA
## Successfully downloaded symbol: ELET3.SA
## Successfully downloaded symbol: ELET6.SA
## Successfully downloaded symbol: EMBR3.SA
## Successfully downloaded symbol: ENAT3.SA
## Successfully downloaded symbol: ENBR3.SA
## Successfully downloaded symbol: ENGI11.SA
## Successfully downloaded symbol: ENEV3.SA
## Successfully downloaded symbol: EGIE3.SA
## Successfully downloaded symbol: ENJU3.SA
## Successfully downloaded symbol: EQTL3.SA
## Successfully downloaded symbol: ESPA3.SA
## Successfully downloaded symbol: ETER3.SA
## Successfully downloaded symbol: EVEN3.SA
## Successfully downloaded symbol: EZTC3.SA
## Successfully downloaded symbol: FHER3.SA
## Successfully downloaded symbol: FESA4.SA
## Successfully downloaded symbol: FLRY3.SA
## Successfully downloaded symbol: GFSA3.SA
## Successfully downloaded symbol: GGBR4.SA
## Successfully downloaded symbol: GOAU4.SA
## Successfully downloaded symbol: GOLL4.SA
## Successfully downloaded symbol: GGPS3.SA
## Successfully downloaded symbol: GRND3.SA
## Successfully downloaded symbol: GMAT3.SA
## Successfully downloaded symbol: NTCO3.SA
## Successfully downloaded symbol: SBFG3.SA
## Successfully downloaded symbol: SOMA3.SA
## Successfully downloaded symbol: HAPV3.SA
## Successfully downloaded symbol: HBSA3.SA
## Successfully downloaded symbol: HYPE3.SA
## >>>> ERROR DOWNLOADING SYMBOL::IGTA3.SA:: <<<<
## Successfully downloaded symbol: PARD3.SA
## Successfully downloaded symbol: MEAL3.SA
## Successfully downloaded symbol: ROMI3.SA
## Successfully downloaded symbol: IFCM3.SA
## Successfully downloaded symbol: INTB3.SA
## Successfully downloaded symbol: GNDI3.SA
## Successfully downloaded symbol: MYPK3.SA
## Successfully downloaded symbol: RANI3.SA
## Successfully downloaded symbol: IRBR3.SA
## Successfully downloaded symbol: ITSA4.SA
## Successfully downloaded symbol: ITUB3.SA
## Successfully downloaded symbol: ITUB4.SA
## Successfully downloaded symbol: JBSS3.SA
## Successfully downloaded symbol: JHSF3.SA
## Successfully downloaded symbol: KEPL3.SA
## Successfully downloaded symbol: KLBN11.SA
## Successfully downloaded symbol: LIGT3.SA
## Successfully downloaded symbol: RENT3.SA
## Successfully downloaded symbol: LCAM3.SA
## Successfully downloaded symbol: LWSA3.SA
## Successfully downloaded symbol: LOGG3.SA
## Successfully downloaded symbol: LOGN3.SA
## Successfully downloaded symbol: LAME3.SA
## Successfully downloaded symbol: LAME4.SA
## Successfully downloaded symbol: AMAR3.SA
## Successfully downloaded symbol: LREN3.SA
## Successfully downloaded symbol: MDIA3.SA
## Successfully downloaded symbol: MGLU3.SA
## Successfully downloaded symbol: MRFG3.SA
## Successfully downloaded symbol: CASH3.SA
## Successfully downloaded symbol: LEVE3.SA
## Successfully downloaded symbol: BEEF3.SA
## Successfully downloaded symbol: MOSI3.SA
## Successfully downloaded symbol: MOVI3.SA
## Successfully downloaded symbol: MRVE3.SA
## Successfully downloaded symbol: MLAS3.SA
## Successfully downloaded symbol: MULT3.SA
## Successfully downloaded symbol: NEOE3.SA
## Successfully downloaded symbol: OPCT3.SA
## Successfully downloaded symbol: ODPV3.SA
## Successfully downloaded symbol: OIBR3.SA
## Successfully downloaded symbol: OMGE3.SA
## Successfully downloaded symbol: ONCO3.SA
## Successfully downloaded symbol: ORVR3.SA
## Successfully downloaded symbol: PCAR3.SA
## Successfully downloaded symbol: PGMN3.SA
## Successfully downloaded symbol: PETR3.SA
## Successfully downloaded symbol: PETR4.SA
## Successfully downloaded symbol: RECV3.SA
## Successfully downloaded symbol: PRIO3.SA
## Successfully downloaded symbol: PETZ3.SA
## Successfully downloaded symbol: PSSA3.SA
## Successfully downloaded symbol: PTBL3.SA
## Successfully downloaded symbol: POSI3.SA
## Successfully downloaded symbol: QUAL3.SA
## Successfully downloaded symbol: LJQQ3.SA
## Successfully downloaded symbol: RADL3.SA
## Successfully downloaded symbol: RAIZ4.SA
## Successfully downloaded symbol: RAPT4.SA
## Successfully downloaded symbol: RCSL3.SA
## Successfully downloaded symbol: RDOR3.SA
## Successfully downloaded symbol: RAIL3.SA
## Successfully downloaded symbol: SBSP3.SA
## Successfully downloaded symbol: SAPR4.SA
## Successfully downloaded symbol: SAPR11.SA
## Successfully downloaded symbol: SANB11.SA
## Successfully downloaded symbol: STBP3.SA
## Successfully downloaded symbol: SMTO3.SA
## Successfully downloaded symbol: SEQL3.SA
## Successfully downloaded symbol: SEER3.SA
## Successfully downloaded symbol: CSNA3.SA
## Successfully downloaded symbol: SIMH3.SA
## Successfully downloaded symbol: SQIA3.SA
## Successfully downloaded symbol: SLCE3.SA
## Successfully downloaded symbol: SMFT3.SA
## Successfully downloaded symbol: SULA11.SA
## Successfully downloaded symbol: SUZB3.SA
## Successfully downloaded symbol: TAEE11.SA
## Successfully downloaded symbol: TASA4.SA
## Successfully downloaded symbol: TRAD3.SA
## Successfully downloaded symbol: TECN3.SA
## Successfully downloaded symbol: VIVT3.SA
## Successfully downloaded symbol: TEND3.SA
## Successfully downloaded symbol: TIMS3.SA
## Successfully downloaded symbol: TOTS3.SA
## Successfully downloaded symbol: TRPL4.SA
## Successfully downloaded symbol: TRIS3.SA
## Successfully downloaded symbol: TPIS3.SA
## Successfully downloaded symbol: TUPY3.SA
## Successfully downloaded symbol: UGPA3.SA
## Successfully downloaded symbol: UNIP6.SA
## Successfully downloaded symbol: USIM5.SA
## Successfully downloaded symbol: VALE3.SA
## Successfully downloaded symbol: VAMO3.SA
## Successfully downloaded symbol: VIIA3.SA
## Successfully downloaded symbol: VBBR3.SA
## Successfully downloaded symbol: VIVA3.SA
## Successfully downloaded symbol: VIVR3.SA
## Successfully downloaded symbol: WEGE3.SA
## Successfully downloaded symbol: WIZS3.SA
## Successfully downloaded symbol: YDUQ3.SA
##
##
## DOWNLOAD SUMMARY:
## =================
## Symbols successfully downloaded: RRRP3.SA ABCB4.SA AERI3.SA AESB3.SA ALSO3.SA AALR3.SA ALLD3.SA ALPA4.SA ALUP11.SA ABEV3.SA AMBP3.SA AMER3.SA ANIM3.SA ARZZ3.SA ARML3.SA ASAI3.SA AZUL4.SA B3SA3.SA BIDI3.SA BIDI4.SA BIDI11.SA BPAN4.SA BRSR6.SA BBSE3.SA BMOB3.SA BKBR3.SA BLAU3.SA BOAS3.SA BRML3.SA BRBI11.SA BRPR3.SA BBDC3.SA BBDC4.SA BRAP3.SA BRAP4.SA BBAS3.SA AGRO3.SA BRKM5.SA BRFS3.SA BPAC11.SA CXSE3.SA CAML3.SA CRFB3.SA CBAV3.SA CCRO3.SA CEAB3.SA CMIG4.SA CESP6.SA CIEL3.SA CLSA3.SA COGN3.SA CSMG3.SA CPLE3.SA CPLE6.SA CPLE11.SA CSAN3.SA CPFE3.SA CMIN3.SA CVCB3.SA CYRE3.SA DXCO3.SA PNVL3.SA DIRR3.SA ECOR3.SA ELET3.SA ELET6.SA EMBR3.SA ENAT3.SA ENBR3.SA ENGI11.SA ENEV3.SA EGIE3.SA ENJU3.SA EQTL3.SA ESPA3.SA ETER3.SA EVEN3.SA EZTC3.SA FHER3.SA FESA4.SA FLRY3.SA GFSA3.SA GGBR4.SA GOAU4.SA GOLL4.SA GGPS3.SA GRND3.SA GMAT3.SA NTCO3.SA SBFG3.SA SOMA3.SA HAPV3.SA HBSA3.SA HYPE3.SA PARD3.SA MEAL3.SA ROMI3.SA IFCM3.SA INTB3.SA GNDI3.SA MYPK3.SA RANI3.SA IRBR3.SA ITSA4.SA ITUB3.SA ITUB4.SA JBSS3.SA JHSF3.SA KEPL3.SA KLBN11.SA LIGT3.SA RENT3.SA LCAM3.SA LWSA3.SA LOGG3.SA LOGN3.SA LAME3.SA LAME4.SA AMAR3.SA LREN3.SA MDIA3.SA MGLU3.SA MRFG3.SA CASH3.SA LEVE3.SA BEEF3.SA MOSI3.SA MOVI3.SA MRVE3.SA MLAS3.SA MULT3.SA NEOE3.SA OPCT3.SA ODPV3.SA OIBR3.SA OMGE3.SA ONCO3.SA ORVR3.SA PCAR3.SA PGMN3.SA PETR3.SA PETR4.SA RECV3.SA PRIO3.SA PETZ3.SA PSSA3.SA PTBL3.SA POSI3.SA QUAL3.SA LJQQ3.SA RADL3.SA RAIZ4.SA RAPT4.SA RCSL3.SA RDOR3.SA RAIL3.SA SBSP3.SA SAPR4.SA SAPR11.SA SANB11.SA STBP3.SA SMTO3.SA SEQL3.SA SEER3.SA CSNA3.SA SIMH3.SA SQIA3.SA SLCE3.SA SMFT3.SA SULA11.SA SUZB3.SA TAEE11.SA TASA4.SA TRAD3.SA TECN3.SA VIVT3.SA TEND3.SA TIMS3.SA TOTS3.SA TRPL4.SA TRIS3.SA TPIS3.SA TUPY3.SA UGPA3.SA UNIP6.SA USIM5.SA VALE3.SA VAMO3.SA VIIA3.SA VBBR3.SA VIVA3.SA VIVR3.SA WEGE3.SA WIZS3.SA YDUQ3.SA
## Symbols NOT downloaded: IGTA3.SA
##
## Applying na.locf to the matrix...head(Precos_Acoes)## RRRP3.SA ABCB4.SA AERI3.SA AESB3.SA ALSO3.SA AALR3.SA ALLD3.SA
## 2020-01-02 NA 18.50136 NA NA 49.58987 18.84397 NA
## 2020-01-03 NA 18.91149 NA NA 50.98803 18.84397 NA
## 2020-01-06 NA 18.79301 NA NA 50.64097 18.83405 NA
## 2020-01-07 NA 18.55605 NA NA 50.04601 18.78446 NA
## 2020-01-08 NA 18.50136 NA NA 51.56316 18.81421 NA
## 2020-01-09 NA 18.50136 NA NA 51.93997 19.73657 NA
## ALPA4.SA ALUP11.SA ABEV3.SA AMBP3.SA AMER3.SA ANIM3.SA ARZZ3.SA
## 2020-01-02 32.17125 26.29335 17.91744 NA 63.89658 9.866666 62.62740
## 2020-01-03 32.17125 26.74442 17.66547 NA 63.03391 9.983333 61.73566
## 2020-01-06 31.66764 26.91356 17.74946 NA 62.64178 10.066666 61.35349
## 2020-01-07 32.38849 26.34034 17.78678 NA 62.48494 10.813333 61.63767
## 2020-01-08 32.74397 26.04902 17.70280 NA 63.31820 10.923333 60.75573
## 2020-01-09 33.53393 26.19938 17.56282 NA 66.70026 10.810000 60.06978
## ARML3.SA ASAI3.SA AZUL4.SA B3SA3.SA BIDI3.SA BIDI4.SA BIDI11.SA
## 2020-01-02 NA NA 58.80 13.72084 4.893915 5.203439 15.07547
## 2020-01-03 NA NA 56.76 13.32542 5.119227 5.296239 15.42675
## 2020-01-06 NA NA 55.00 13.19768 5.434001 5.717154 16.70928
## 2020-01-07 NA NA 56.82 13.62350 5.927701 5.809955 17.44168
## 2020-01-08 NA NA 56.92 13.58701 5.665940 5.760241 17.33894
## 2020-01-09 NA NA 57.28 13.58092 5.467135 5.720469 16.74242
## BPAN4.SA BRSR6.SA BBSE3.SA BMOB3.SA BKBR3.SA BLAU3.SA BOAS3.SA
## 2020-01-02 10.25531 19.37065 31.21789 NA 17.28928 NA NA
## 2020-01-03 10.69833 19.24000 30.87375 NA 16.99033 NA NA
## 2020-01-06 10.94340 19.20516 31.38176 NA 17.16970 NA NA
## 2020-01-07 10.93398 19.29226 31.39814 NA 17.27932 NA NA
## 2020-01-08 10.83972 18.87418 31.38176 NA 17.16970 NA NA
## 2020-01-09 10.83972 18.63031 31.29163 NA 17.08002 NA NA
## BRML3.SA BRBI11.SA BRPR3.SA BBDC3.SA BBDC4.SA BRAP3.SA BRAP4.SA
## 2020-01-02 18.22 NA 14.23753 27.13344 31.70484 22.56769 24.00585
## 2020-01-03 18.63 NA 15.10922 26.71003 31.71943 22.65641 24.34672
## 2020-01-06 18.50 NA 14.72180 26.55683 31.15286 22.49798 24.46034
## 2020-01-07 18.80 NA 15.25450 26.10490 30.61166 22.75148 24.56765
## 2020-01-08 18.25 NA 14.81866 25.70659 30.13811 22.56135 24.56134
## 2020-01-09 18.51 NA 14.81866 25.45381 29.65610 22.47263 24.24572
## BBAS3.SA AGRO3.SA BRKM5.SA BRFS3.SA BPAC11.SA CXSE3.SA CAML3.SA
## 2020-01-02 48.00270 16.94585 26.90310 35.88 18.23577 NA 8.524587
## 2020-01-03 47.92240 17.12191 28.09781 35.94 18.28869 NA 8.570918
## 2020-01-06 47.28891 17.13071 29.55801 35.57 18.26223 NA 8.394866
## 2020-01-07 46.93200 17.07789 28.78808 35.16 18.33509 NA 8.209547
## 2020-01-08 46.50373 16.90183 30.23059 36.51 18.17260 NA 8.265143
## 2020-01-09 45.55796 17.25395 30.84121 36.84 18.29629 NA 8.283675
## CRFB3.SA CBAV3.SA CCRO3.SA CEAB3.SA CMIG4.SA CESP6.SA CIEL3.SA
## 2020-01-02 22.31084 NA 18.05200 18.10 10.43481 27.47140 7.871391
## 2020-01-03 22.88888 NA 17.85248 18.00 10.32204 27.69090 7.770357
## 2020-01-06 21.89128 NA 17.39642 17.81 10.46488 27.22657 7.577477
## 2020-01-07 21.76076 NA 17.78597 17.18 10.84829 26.59340 7.357041
## 2020-01-08 21.35053 NA 17.66245 16.27 11.14901 25.92645 7.191714
## 2020-01-09 21.81669 NA 17.23491 15.71 11.05879 26.52585 6.750843
## CLSA3.SA COGN3.SA CSMG3.SA CPLE3.SA CPLE6.SA CPLE11.SA CSAN3.SA
## 2020-01-02 NA 12.20 17.54729 5.821024 5.439591 NA 17.05802
## 2020-01-03 NA 12.15 17.69477 6.149872 5.435631 NA 17.38866
## 2020-01-06 NA 11.99 17.32219 6.086665 5.444343 NA 17.28638
## 2020-01-07 NA 12.08 17.06087 6.124248 5.472064 NA 17.59800
## 2020-01-08 NA 12.00 17.06863 6.060185 5.386526 NA 17.30779
## 2020-01-09 NA 12.10 17.16436 6.273723 5.545722 NA 17.12225
## CPFE3.SA CMIN3.SA CVCB3.SA CYRE3.SA DXCO3.SA PNVL3.SA DIRR3.SA
## 2020-01-02 27.37388 NA 44.71 27.52719 14.11444 19.26121 13.94850
## 2020-01-03 27.20284 NA 44.20 29.02256 14.32607 19.26121 13.93950
## 2020-01-06 27.45939 NA 43.82 28.75711 14.22840 19.26121 13.75964
## 2020-01-07 27.14064 NA 44.40 28.84559 14.28538 19.58822 13.84058
## 2020-01-08 26.96960 NA 44.34 27.95191 14.22840 19.58822 13.92152
## 2020-01-09 27.45939 NA 43.39 27.81034 14.12258 19.58822 13.93950
## ECOR3.SA ELET3.SA ELET6.SA EMBR3.SA ENAT3.SA ENBR3.SA ENGI11.SA
## 2020-01-02 16.30 31.79857 32.06020 20.20 14.92841 19.77205 48.10260
## 2020-01-03 16.17 31.31551 31.92768 20.41 15.22540 19.89839 48.93304
## 2020-01-06 16.08 31.46542 31.97738 20.38 15.02449 19.74498 49.08649
## 2020-01-07 16.44 32.27329 32.46603 20.50 15.09438 19.62766 48.50879
## 2020-01-08 16.48 32.73970 32.73933 20.33 14.91967 19.60059 48.47269
## 2020-01-09 16.43 32.77301 33.21970 20.19 14.23833 20.08790 49.39340
## ENEV3.SA EGIE3.SA ENJU3.SA EQTL3.SA ESPA3.SA ETER3.SA EVEN3.SA
## 2020-01-02 10.9650 45.38751 NA 22.28335 NA 3.968861 14.61614
## 2020-01-03 11.0675 45.64936 NA 22.01842 NA 3.793084 14.53519
## 2020-01-06 11.3500 45.26531 NA 22.04680 NA 4.135387 14.58916
## 2020-01-07 11.2650 45.36133 NA 21.93325 NA 4.477689 15.06587
## 2020-01-08 11.2125 44.90745 NA 22.08465 NA 4.533197 14.87698
## 2020-01-09 11.3750 45.03838 NA 22.34959 NA 5.060529 14.84101
## EZTC3.SA FHER3.SA FESA4.SA FLRY3.SA GFSA3.SA GGBR4.SA GOAU4.SA
## 2020-01-02 51.02477 3.70 18.49758 28.96132 9.71 18.21001 7.771845
## 2020-01-03 51.43041 3.88 18.60975 28.21401 10.15 17.91178 7.787902
## 2020-01-06 51.67187 3.77 18.33868 29.04797 9.90 17.86792 7.747758
## 2020-01-07 52.38658 3.90 18.40411 29.34782 9.55 18.14861 7.803960
## 2020-01-08 52.92745 3.78 18.59105 29.16979 9.09 18.21879 7.755787
## 2020-01-09 53.70011 3.90 18.23587 29.71326 9.07 18.12230 7.763816
## GOLL4.SA GGPS3.SA GRND3.SA GMAT3.SA NTCO3.SA SBFG3.SA SOMA3.SA
## 2020-01-02 37.17 NA 10.69575 NA 38.33 37.43 NA
## 2020-01-03 35.90 NA 10.80880 NA 41.00 37.97 NA
## 2020-01-06 34.25 NA 10.67836 NA 40.13 38.00 NA
## 2020-01-07 34.45 NA 11.22619 NA 40.78 38.65 NA
## 2020-01-08 35.81 NA 11.19141 NA 40.99 38.65 NA
## 2020-01-09 36.65 NA 10.80880 NA 42.00 38.90 NA
## HAPV3.SA HBSA3.SA HYPE3.SA PARD3.SA MEAL3.SA ROMI3.SA IFCM3.SA
## 2020-01-02 13.16234 NA 33.41003 26.78342 8.87 11.50667 NA
## 2020-01-03 13.71903 NA 34.09679 27.44545 8.60 11.35984 NA
## 2020-01-06 13.29602 NA 33.31722 27.54281 8.70 11.28642 NA
## 2020-01-07 12.93065 NA 32.99240 27.68885 8.75 11.13958 NA
## 2020-01-08 12.66457 NA 32.56550 28.42878 8.70 11.54672 NA
## 2020-01-09 12.58912 NA 33.26155 28.41904 8.49 11.52002 NA
## INTB3.SA GNDI3.SA MYPK3.SA RANI3.SA IRBR3.SA ITSA4.SA ITUB3.SA
## 2020-01-02 NA 65.53124 21.24656 3.869094 35.23128 12.43174 30.46062
## 2020-01-03 NA 66.75664 21.34522 3.841058 34.95748 12.24981 30.20834
## 2020-01-06 NA 64.00407 21.24656 3.710219 34.63070 12.22382 29.90000
## 2020-01-07 NA 61.81847 21.31831 3.841058 34.86034 12.05922 29.32068
## 2020-01-08 NA 62.18426 21.14791 4.018625 34.99282 11.87729 29.02168
## 2020-01-09 NA 62.52262 21.37212 3.943859 36.34413 11.64339 28.75071
## ITUB4.SA JBSS3.SA JHSF3.SA KEPL3.SA KLBN11.SA LIGT3.SA RENT3.SA
## 2020-01-02 35.75817 23.61733 6.803896 23.27067 18.17568 23.31595 48.87367
## 2020-01-03 35.38206 23.85176 7.269425 23.46299 18.61803 23.16962 48.16450
## 2020-01-06 34.85551 23.28738 7.305235 23.42452 18.78514 23.21839 47.60307
## 2020-01-07 34.04689 23.70415 7.367901 23.27067 18.84413 23.14035 48.06600
## 2020-01-08 33.49213 24.28590 7.251521 23.07835 19.05055 22.89646 47.82961
## 2020-01-09 32.82454 24.58112 7.278378 23.07835 18.93259 22.81841 48.08569
## LCAM3.SA LWSA3.SA LOGG3.SA LOGN3.SA LAME3.SA LAME4.SA AMAR3.SA
## 2020-01-02 22.12042 NA 31.72876 22.53 20.25499 26.55891 13.46
## 2020-01-03 22.92168 NA 30.68912 25.05 20.46258 26.60846 13.95
## 2020-01-06 22.41612 NA 31.57183 24.60 20.22533 26.30125 13.63
## 2020-01-07 22.88352 NA 31.87588 23.91 19.82992 25.77602 13.67
## 2020-01-08 22.97891 NA 31.39529 23.44 19.87935 25.58773 13.87
## 2020-01-09 23.32230 NA 31.31682 23.63 20.00785 26.28143 14.31
## LREN3.SA MDIA3.SA MGLU3.SA MRFG3.SA CASH3.SA LEVE3.SA BEEF3.SA
## 2020-01-02 55.21742 35.75137 12.02974 8.377728 NA 28.09133 10.81319
## 2020-01-03 54.83330 36.16074 11.92244 8.560938 NA 27.36718 11.09707
## 2020-01-06 54.78529 36.59739 11.93219 8.402710 NA 27.85807 11.08847
## 2020-01-07 54.75647 35.34199 11.89805 8.660871 NA 27.65983 11.59601
## 2020-01-08 55.11179 35.65129 12.26384 8.877393 NA 27.69759 11.72505
## 2020-01-09 54.68925 35.93330 12.70036 9.085587 NA 27.31054 11.54440
## MOSI3.SA MOVI3.SA MRVE3.SA MLAS3.SA MULT3.SA NEOE3.SA OPCT3.SA
## 2020-01-02 NA 18.90520 20.93606 NA 32.06448 22.97123 NA
## 2020-01-03 NA 19.40728 20.93606 NA 32.06448 22.64441 NA
## 2020-01-06 NA 19.47894 20.65314 NA 32.00714 22.78448 NA
## 2020-01-07 NA 19.44006 20.74745 NA 32.09315 22.85912 NA
## 2020-01-08 NA 19.53726 20.38909 NA 32.21740 23.18837 NA
## 2020-01-09 NA 19.80942 20.23819 NA 32.01670 23.13193 NA
## ODPV3.SA OIBR3.SA OMGE3.SA ONCO3.SA ORVR3.SA PCAR3.SA PGMN3.SA
## 2020-01-02 15.51501 0.86 39.30 NA NA 83.26806 NA
## 2020-01-03 15.70655 0.86 40.57 NA NA 83.26806 NA
## 2020-01-06 15.58797 0.92 39.68 NA NA 83.26806 NA
## 2020-01-07 15.18664 0.94 38.57 NA NA 83.26806 NA
## 2020-01-08 15.23225 0.92 39.60 NA NA 81.50677 NA
## 2020-01-09 15.41467 0.90 39.79 NA NA 85.40411 NA
## PETR3.SA PETR4.SA RECV3.SA PRIO3.SA PETZ3.SA PSSA3.SA PTBL3.SA
## 2020-01-02 25.77569 24.95087 NA 7.156 NA 28.83138 4.775723
## 2020-01-03 25.13915 24.74768 NA 7.570 NA 28.09419 4.731666
## 2020-01-06 25.95643 25.04026 NA 7.718 NA 28.64259 4.731666
## 2020-01-07 25.60280 24.94274 NA 7.728 NA 28.62461 4.802156
## 2020-01-08 25.18631 24.78832 NA 7.570 NA 28.31895 5.066495
## 2020-01-09 25.32776 24.70705 NA 7.280 NA 28.41334 5.075307
## POSI3.SA QUAL3.SA LJQQ3.SA RADL3.SA RAIZ4.SA RAPT4.SA RCSL3.SA
## 2020-01-02 9.779281 36.02271 NA 22.62177 NA 13.37098 1.75
## 2020-01-03 9.567525 36.76706 NA 22.11745 NA 13.45514 1.79
## 2020-01-06 9.172888 38.27413 NA 21.68207 NA 13.30553 1.91
## 2020-01-07 9.509774 37.30004 NA 21.38460 NA 13.45514 2.15
## 2020-01-08 9.278768 36.58327 NA 21.67025 NA 13.34293 2.23
## 2020-01-09 9.355769 36.84976 NA 22.32233 NA 13.73565 2.18
## RDOR3.SA RAIL3.SA SBSP3.SA SAPR4.SA SAPR11.SA SANB11.SA STBP3.SA
## 2020-01-02 NA 26.40 58.02500 6.214901 30.62932 43.10525 7.907043
## 2020-01-03 NA 25.63 57.02837 5.774236 30.16658 43.07991 8.069581
## 2020-01-06 NA 24.90 56.15631 5.783353 29.65513 41.83958 7.964409
## 2020-01-07 NA 25.27 55.19802 5.920111 29.89563 41.75152 7.964409
## 2020-01-08 NA 25.60 54.38347 5.917073 30.01437 41.42567 7.830553
## 2020-01-09 NA 25.93 55.21718 5.901877 29.90781 40.64190 7.840115
## SMTO3.SA SEQL3.SA SEER3.SA CSNA3.SA SIMH3.SA SQIA3.SA SLCE3.SA
## 2020-01-02 22.13625 NA 26.77324 13.96082 NA 24.57847 21.44816
## 2020-01-03 22.44984 NA 26.39615 13.85628 NA 24.45857 21.35738
## 2020-01-06 23.15083 NA 26.03792 13.51415 NA 24.97811 21.16758
## 2020-01-07 22.96636 NA 25.92480 13.51415 NA 25.07803 20.63117
## 2020-01-08 22.78189 NA 25.82109 13.49515 NA 25.06803 20.75495
## 2020-01-09 22.86490 NA 26.68840 13.35259 NA 24.21878 20.63117
## SMFT3.SA SULA11.SA SUZB3.SA TAEE11.SA TASA4.SA TRAD3.SA TECN3.SA
## 2020-01-02 NA 52.69147 40.30898 24.73483 6.24 NA 3.320646
## 2020-01-03 NA 54.64647 40.17063 24.70275 6.34 NA 3.099269
## 2020-01-06 NA 54.86844 40.10146 24.85513 6.55 NA 3.012644
## 2020-01-07 NA 53.79276 40.61532 24.55838 6.33 NA 3.128145
## 2020-01-08 NA 53.40859 42.64115 24.30975 6.12 NA 3.060769
## 2020-01-09 NA 55.20993 42.53244 24.00498 6.29 NA 3.436146
## VIVT3.SA TEND3.SA TIMS3.SA TOTS3.SA TRPL4.SA TRIS3.SA TPIS3.SA
## 2020-01-02 40.80102 30.76918 14.65090 22.63134 18.27799 14.86634 1.653212
## 2020-01-03 41.27467 30.80827 14.67877 23.11244 17.82045 15.48379 1.653212
## 2020-01-06 40.87714 30.84737 14.66019 22.58552 17.92480 15.41729 1.623514
## 2020-01-07 41.78214 31.81502 14.81812 22.68043 17.79636 15.74027 1.633413
## 2020-01-08 42.20505 31.57066 14.97606 22.37606 17.65990 15.67377 1.623514
## 2020-01-09 41.49458 31.71728 14.77167 22.74589 17.59568 15.58828 1.603715
## TUPY3.SA UGPA3.SA UNIP6.SA USIM5.SA VALE3.SA VAMO3.SA VIIA3.SA
## 2020-01-02 24.82716 24.85781 28.64082 8.874281 44.33061 NA 11.73
## 2020-01-03 25.84571 24.56651 27.42675 8.782794 44.00422 NA 11.48
## 2020-01-06 24.79778 24.03245 28.11119 8.618116 43.74312 NA 11.48
## 2020-01-07 25.12097 24.56651 27.91563 8.700455 44.06134 NA 11.65
## 2020-01-08 25.12097 24.37231 28.92601 8.590671 44.06950 NA 11.60
## 2020-01-09 25.51272 24.42086 28.67342 8.535777 43.49017 NA 11.66
## VBBR3.SA VIVA3.SA VIVR3.SA WEGE3.SA WIZS3.SA YDUQ3.SA
## 2020-01-02 26.86739 28.68686 2.342545 17.28075 12.20178 45.16428
## 2020-01-03 26.71007 28.50990 2.468941 17.06008 12.20178 44.21752
## 2020-01-06 25.37282 28.00851 2.805998 17.10422 12.86501 45.06767
## 2020-01-07 25.33786 27.42849 2.949247 17.23662 13.57926 44.22718
## 2020-01-08 25.21550 27.47764 2.848130 16.58442 12.66944 43.96634
## 2020-01-09 24.55124 27.92004 2.679601 16.33923 12.54190 44.35277Next, having obtained the stock prices in a single organized dataframe, We will now treat the data to separate the momentum effect. For this, we will use the dplyr, tidyquant and tidyr packages to organize dataframes. We will change from wide format (stock prices arranged along columns) to long format (data stacked with the stock code label). We did this via the gather() function. We label the months (actually, the information is in daily frequency) to be able to define a moving window of 12 months excluding the current month.
We calculate the daily return discretely, as follows: $r_t=P_t/P_{t-1} $. The monthly return is the cumulative daily return for the data grouped into months. Remembering that the accumulated return is \(r_{m}=\prod_{t=1}^{t-d}\), where \(d\) is the number of working days in the month. For this we control using the group_by and ungroup() functions.
We grouped all 12-month moving window returns by date (and no longer by asset). That way we can take the whole sample and divide it into deciles, using the ntile(.,n=10) function. We filter only the top decile (greater than or equal to 10).
DF_Final <- as.data.table(Precos_Acoes) %>%
gather("Codigo", "Preco", -index) %>%
rename(Datas = index) %>%
mutate(Mes_Ano = as.yearmon(Datas)) %>%
ungroup() %>%
group_by(Codigo) %>%
mutate(Retorno_Diario = (Preco - lag(Preco,1))/lag(Preco,1)) %>%
group_by(Codigo,Mes_Ano) %>%
mutate(Retorno_Mensal = Return.cumulative(Retorno_Diario)) %>%
ungroup() %>%
filter(Mes_Ano >= (Mes_Ano[length(Mes_Ano)] - 13/12)) %>%
filter(Mes_Ano <= (Mes_Ano[length(Mes_Ano)] - 1/12)) %>%
group_by(Codigo) %>%
mutate(Retorno_Diario = replace_na(Retorno_Diario, replace = 0)) %>%
mutate(Ret_Acumulado_Diario =cumprod(1+Retorno_Diario) -1) %>%
mutate(Retorno_12 = Return.cumulative(Retorno_Diario, geometric = TRUE)) %>%
ungroup() %>%
group_by(Datas) %>%
mutate(Decil_Retorno=ntile(x = Retorno_12, n = 10)) %>%
filter(Decil_Retorno >= 10)
head(DF_Final, 20)## # A tibble: 20 x 9
## # Groups: Datas [20]
## Datas Codigo Preco Mes_Ano Retorno_Diario Retorno_Mensal
## <date> <chr> <dbl> <yearmon> <dbl> <dbl>
## 1 2021-01-04 AMBP3.SA 26.8 jan 2021 0.0163 -0.0454
## 2 2021-01-05 AMBP3.SA 26.5 jan 2021 -0.00968 -0.0454
## 3 2021-01-06 AMBP3.SA 26.7 jan 2021 0.00790 -0.0454
## 4 2021-01-07 AMBP3.SA 26.2 jan 2021 -0.0194 -0.0454
## 5 2021-01-08 AMBP3.SA 26.0 jan 2021 -0.00761 -0.0454
## 6 2021-01-11 AMBP3.SA 26.6 jan 2021 0.0238 -0.0454
## 7 2021-01-12 AMBP3.SA 26.9 jan 2021 0.00899 -0.0454
## 8 2021-01-13 AMBP3.SA 26.5 jan 2021 -0.0148 -0.0454
## 9 2021-01-14 AMBP3.SA 26.2 jan 2021 -0.00904 -0.0454
## 10 2021-01-15 AMBP3.SA 26.3 jan 2021 0.00342 -0.0454
## 11 2021-01-18 AMBP3.SA 26.1 jan 2021 -0.00644 -0.0454
## 12 2021-01-19 AMBP3.SA 26.9 jan 2021 0.0278 -0.0454
## 13 2021-01-20 AMBP3.SA 26.3 jan 2021 -0.0204 -0.0454
## 14 2021-01-21 AMBP3.SA 26.3 jan 2021 0 -0.0454
## 15 2021-01-22 AMBP3.SA 26.1 jan 2021 -0.00758 -0.0454
## 16 2021-01-26 AMBP3.SA 25.9 jan 2021 -0.00954 -0.0454
## 17 2021-01-27 AMBP3.SA 25.9 jan 2021 0.00193 -0.0454
## 18 2021-01-28 AMBP3.SA 25.7 jan 2021 -0.00769 -0.0454
## 19 2021-01-29 AMBP3.SA 25.1 jan 2021 -0.0225 -0.0454
## 20 2021-02-01 AMBP3.SA 24.9 fev 2021 -0.00833 -0.0845
## # ... with 3 more variables: Ret_Acumulado_Diario <dbl>, Retorno_12 <dbl>,
## # Decil_Retorno <int>tail(DF_Final, 20)## # A tibble: 20 x 9
## # Groups: Datas [20]
## Datas Codigo Preco Mes_Ano Retorno_Diario Retorno_Mensal
## <date> <chr> <dbl> <yearmon> <dbl> <dbl>
## 1 2022-01-04 VAMO3.SA 10.8 jan 2022 -0.0441 0.0250
## 2 2022-01-05 VAMO3.SA 10 jan 2022 -0.0766 0.0250
## 3 2022-01-06 VAMO3.SA 10.5 jan 2022 0.049 0.0250
## 4 2022-01-07 VAMO3.SA 10.2 jan 2022 -0.0276 0.0250
## 5 2022-01-10 VAMO3.SA 10.1 jan 2022 -0.0137 0.0250
## 6 2022-01-11 VAMO3.SA 10.2 jan 2022 0.0159 0.0250
## 7 2022-01-12 VAMO3.SA 10.8 jan 2022 0.0577 0.0250
## 8 2022-01-13 VAMO3.SA 10.2 jan 2022 -0.0537 0.0250
## 9 2022-01-14 VAMO3.SA 10.2 jan 2022 0.00196 0.0250
## 10 2022-01-17 VAMO3.SA 10.2 jan 2022 -0.00488 0.0250
## 11 2022-01-18 VAMO3.SA 9.74 jan 2022 -0.0451 0.0250
## 12 2022-01-19 VAMO3.SA 9.99 jan 2022 0.0257 0.0250
## 13 2022-01-20 VAMO3.SA 11 jan 2022 0.101 0.0250
## 14 2022-01-21 VAMO3.SA 11.2 jan 2022 0.0164 0.0250
## 15 2022-01-24 VAMO3.SA 11.1 jan 2022 -0.00805 0.0250
## 16 2022-01-25 VAMO3.SA 11.5 jan 2022 0.0406 0.0250
## 17 2022-01-26 VAMO3.SA 12.0 jan 2022 0.0373 0.0250
## 18 2022-01-27 VAMO3.SA 11.9 jan 2022 -0.00501 0.0250
## 19 2022-01-28 VAMO3.SA 12.0 jan 2022 0.00588 0.0250
## 20 2022-01-31 VAMO3.SA 12.3 jan 2022 0.0250 0.0250
## # ... with 3 more variables: Ret_Acumulado_Diario <dbl>, Retorno_12 <dbl>,
## # Decil_Retorno <int>Now, let’s plot using the ggplot2 library.
### Plot
theme_set(theme_bw())
p <- ggplot(data = DF_Final, aes(y = Ret_Acumulado_Diario, x = Datas)) +
geom_line(aes(color = Codigo), size = 1.5) +
xlab('Time (days)') +
ylab('Daily Cumulative Return') +
ggtitle('Momentum Screen - B3') +
facet_wrap( ~ Codigo, scales = "free") +
scale_x_date(date_breaks = "month", date_labels = "%b") +
scale_y_continuous(labels = scales::percent)
p + theme(legend.position = "none",
axis.text.x = element_text(angle = 90,
vjust = 0.5,
hjust=1)) 
Júlio Fernando Costa Santos
Professor of Economics
My research interests include Finance, Macroeconomics and Econometric techniques.