Analyzing REITs - Self Storage as of 8/26/2021

 

require(IKTrading)

require(quantmod)

require(PerformanceAnalytics)

options("getSymbols.warning4.0"=FALSE)

symbols <- c("NSA", #National Storage

             "EXR",  #Extra Space Storage

             "PSA", # Public Storage

             "SELF", #Global Self Storage 

             "CUBE",  #Cube Smart

             "LSI"  #Life Storage

             

             

             

             

             

)

from="2003-01-01"

#Home ETFs first, iShares ETFs afterwards

if(!"XLB" %in% ls()) {

  suppressMessages(getSymbols(symbols, from="2003-01-01", src="yahoo", adjust=TRUE))

}

Self <- list()

for(i in 1:length(symbols)) {

  Self[[i]] <- Cl(get(symbols[i]))

}

Self <- do.call(cbind, Self)

colnames(Self) <- gsub("\\.[A-z]*", "", colnames(Self))

cor(Self)

Storage<-Self/lag(Self)-1  

Storage[1,] <- 0

write.table(Storage, file='Storage.xls')

tail(Storage)

Home_2020=window(Storage,start=as.Date("2020-01-01"), end=as.Date("2020-12-31"))

Home_2021=window(Storage,start=as.Date("2021-01-01"), end=as.Date("2021-12-31"))

charts.PerformanceSummary(Home_2021,main='Self Storage REITs Sectors',wealth.index = TRUE)

#calculate the Sharpe ratio

# Sharpe ratio = ((Expected_Return - Risk Free Return) / SD)

Home_Returns<-table.AnnualizedReturns(Home_2021, scale=252, Rf=0.005/252)

Home_Returns

Cumm_Returns=Return.cumulative(Home_2021)*100

Cumm_Returns

chart.CumReturns(Home_2021, main='Home for 2021',  begin=c("first", "axis"))

barplot(Cumm_Returns, main='Cummulative Returns for Self REITs')

barplot(Cumm_Returns)

write.csv(Home_Returns, file='return.xls')

cor.distance <- cor(Storage)

corrplot::corrplot(cor.distance)

write.table(cor.distance, file='correlation matrix.xls')

library(igraph)

g1 <- graph.adjacency(cor.distance, weighted = T, mode = "undirected", add.colnames = "label")

mst <- minimum.spanning.tree(g1)

plot(mst)

library(visNetwork)

mst_df <- get.data.frame( mst, what = "both" )

visNetwork( 

  data.frame(

    id = 1:nrow(mst_df$vertices) 

    ,label = mst_df$vertices

  )

  , mst_df$edges

) %>%

  visOptions( highlightNearest = TRUE)