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FDRDRBfinalizerAnnual.m
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% Script by Arman Hassanniakalager
% Last Modified 22 May 2018 12:12 BST
clear;
clc;
labels={'MXWO' 'NDDUUS' 'NDDUUK' 'NDDUJN' 'MXEF' 'NDEUSRU' 'NDEUCHF' 'NDUEBRAF'...
'MXFEM' 'MSEIESUN' 'M1MA' 'MIMUJORN'};
regions={'Advanced' 'US' 'UK' 'Japan' 'Emerging' 'Russia' 'China' 'Brazil' ...
'Frontier' 'Estonia' 'Morocco' 'Jordan'};
rftable=readtable('FEDL01.csv');
rftable{:,2}=rftable{:,2}/100/260;
transser=[25*ones(1,4),50*ones(1,8)];
%% Year range
yearser=2006:2015;
startyr=2002;
finishyr=2017;
oosperiod=1;
tic
iter=0;
%% Main loop
for i=1:numel(labels)
lbl=labels{i};
transbasis=transser(i);
fllbl=[lbl,'_',num2str(startyr),'_',num2str(finishyr),'-insample-',num2str(transbasis),'.mat'];
load(fllbl,'master','ret','TF1','inputser','dataret');
S1=load([lbl,'_',num2str(yearser(1)),'_',num2str(yearser(end)),'.mat'],'resvar');
resvarIS=S1.resvar;
S2=load(['CV_',lbl,'_',num2str(yearser(1)),'_',num2str(yearser(end)),'.mat'],'resvar');
resvarIOS=S2.resvar;
% Calculating the returns without transaction costs
retnocost=TransCost(inputser,dataret,0);
disp(['Dataset loaded for ',lbl]);
iterplus=0;
tic;
for yearOOS=yearser(1):yearser(end)%2006:2016
iter=iter+1;
PortRetIS=[];
PortRetOOS1M=[];
PortRetOOS3M=[];
PortRetOOS6M=[];
InterPortRetOOS1M=[];
InterPortRetOOS3M=[];
InterPortRetOOS6M=[];
ISportFDRsize=[];
IOS1MportFDRsize=[];
IOS3MportFDRsize=[];
IOS6MportFDRsize=[];
ISportFDRser=[];
OOS1MportFDRser=[];
OOS3MportFDRser=[];
OOS6MportFDRser=[];
IOS1MportFDRser=[];
IOS3MportFDRser=[];
IOS6MportFDRser=[];
IOS1Mratio=[];
IOS3Mratio=[];
IOS6Mratio=[];
mnthchk1Mser=[];
mnthchk3Mser=[];
mnthchk6Mser=[];
Intermnthchk1Mser=[];
Intermnthchk3Mser=[];
Intermnthchk6Mser=[];
for month=1:12
for IS=2
iterplus=iterplus+1;
yr=yearOOS-IS;
begindtstrIS=[num2str(month),'/',num2str(yr)];
TF1SMP = contains(master.textdata(:,1),begindtstrIS);
TF1SMP=find(TF1SMP==1,1,'first');
startdtIS=master.textdata(TF1SMP,1);
%% IS
finishdtstrIS=[num2str(month),'/',num2str(yr+IS)];
TF2SMP = contains(master.textdata(:,1),finishdtstrIS);
TF2SMP=find(TF2SMP==1,1,'first')-1;
finishdtIS=master.textdata(TF2SMP,1);
retIS=ret(TF1SMP-TF1+1:TF2SMP-TF1+1,:);
%% IS+1M OOS
finishdtstrIOS1M=[num2str(rem(month+oosperiod,12+1e-10)),'/',num2str(yr+IS+(month+oosperiod>12))];
TF3SMP1M = contains(master.textdata(:,1),finishdtstrIOS1M);
TF3SMP1M=find(TF3SMP1M==1,1,'first')-1;
finishdtIOS1M=master.textdata(TF3SMP1M,1);
retIOS1M=ret(TF1SMP-TF1+1:TF3SMP1M-TF1+1,:);
%% IS+3M OOS
finishdtstrIOS3M=[num2str(rem(month+3*oosperiod,12+1e-10)),'/',num2str(yr+IS+(month+3*oosperiod>12))];
TF3SMP3M = contains(master.textdata(:,1),finishdtstrIOS3M);
TF3SMP3M=find(TF3SMP3M==1,1,'first')-1;
finishdtIOS3M=master.textdata(TF3SMP3M,1);
retIOS3M=ret(TF1SMP-TF1+1:TF3SMP3M-TF1+1,:);
%% IS+6M OOS
finishdtstrIOS6M=[num2str(rem(month+6*oosperiod,12+1e-10)),'/',num2str(yr+IS+(month+6*oosperiod>12))];
TF3SMP6M = contains(master.textdata(:,1),finishdtstrIOS6M);
TF3SMP6M=find(TF3SMP6M==1,1,'first')-1;
finishdtIOS6M=master.textdata(TF3SMP6M,1);
retIOS6M=ret(TF1SMP-TF1+1:TF3SMP6M-TF1+1,:);
%% OOS return
% 1M
retOOS1M=ret(TF2SMP+1-TF1+1:TF3SMP1M-TF1+1,:);
% 3M
retOOS3M=ret(TF2SMP+1-TF1+1:TF3SMP3M-TF1+1,:);
% 6M
retOOS6M=ret(TF2SMP+1-TF1+1:TF3SMP6M-TF1+1,:);
%% Excess return
rfind1=find(rftable{:,1}==char(startdtIS),1,'first');
rfind2=find(rftable{:,1}==char(finishdtIS),1,'first');
excessretIS=retIS-rftable{rfind1:rfind2,2};
rfind31M=find(rftable{:,1}==char(finishdtIOS1M),1,'first');
rfind33M=find(rftable{:,1}==char(finishdtIOS3M),1,'first');
rfind36M=find(rftable{:,1}==char(finishdtIOS6M),1,'first');
excessretIOS1M=retIOS1M-rftable{rfind1:rfind31M,2};
excessretIOS3M=retIOS3M-rftable{rfind1:rfind33M,2};
excessretIOS6M=retIOS6M-rftable{rfind1:rfind36M,2};
excessretOOS1M=retOOS1M-rftable{rfind2+1:rfind31M,2};
excessretOOS3M=retOOS3M-rftable{rfind2+1:rfind33M,2};
excessretOOS6M=retOOS6M-rftable{rfind2+1:rfind36M,2};
%% Loading the FDR portfolios
ISportFDR=resvarIS{iterplus*2,1};
IOS1MportFDR=resvarIOS{iterplus,1};
IOS3MportFDR=resvarIOS{iterplus,2};
IOS6MportFDR=resvarIOS{iterplus,3};
%% Portfolio generation
% IS portfolio return
finalretIS=sum(excessretIS);
PortRetIS(end+1)=finalretIS*ISportFDR/max(sum(ISportFDR),1);
ISportFDRser(end+1:end+size(excessretIS,1))=mean(excessretIS(:,ISportFDR==1),2);
% IOS+OOS portfolio return
% 1M
finalretOOS1M=sum(excessretOOS1M);
PortRetOOS1M(end+1)=finalretOOS1M*ISportFDR/max(sum(ISportFDR),1);
OOS1MportFDRser(end+1:end+size(excessretOOS1M,1))=mean(excessretOOS1M(:,ISportFDR==1),2);
IOS1MportFDRser(end+1:end+size(excessretIOS1M,1))=mean(excessretIOS1M(:,IOS1MportFDR==1),2);
% 3M
finalretOOS3M=sum(excessretOOS3M);
PortRetOOS3M(end+1)=finalretOOS3M*ISportFDR/max(sum(ISportFDR),1);
OOS3MportFDRser(end+1:end+size(excessretOOS3M,1))=mean(excessretOOS3M(:,ISportFDR==1),2);
IOS3MportFDRser(end+1:end+size(excessretIOS3M,1))=mean(excessretIOS3M(:,IOS3MportFDR==1),2);
% 6M
finalretOOS6M=sum(excessretOOS6M);
PortRetOOS6M(end+1)=finalretOOS6M*ISportFDR/max(sum(ISportFDR),1);
OOS6MportFDRser(end+1:end+size(excessretOOS6M,1))=mean(excessretOOS6M(:,ISportFDR==1),2);
IOS6MportFDRser(end+1:end+size(excessretIOS6M,1))=mean(excessretIOS6M(:,IOS6MportFDR==1),2);
%% Cross-validating the results
intersect1=and(ISportFDR==1,and(finalretOOS1M'>0,ISportFDR==IOS1MportFDR));
IOS1Mratio(end+1)=sum(intersect1)/21195;
intersect3=and(ISportFDR==1,and(finalretOOS3M'>0,ISportFDR==IOS3MportFDR));
IOS3Mratio(end+1)=sum(intersect3)/21195;
intersect6=and(ISportFDR==1,and(finalretOOS6M'>0,ISportFDR==IOS6MportFDR));
IOS6Mratio(end+1)=sum(intersect6)/21195;
%% Robustness check (survivors)
% 1M
mnthchk1M=0;
PortRetOOS=PortRetOOS1M(end);
mnthchk1M=mnthchk1M+(PortRetOOS>0);
while mnthchk1M<=6 && PortRetOOS>0
finishdtstrOOS=[num2str(rem(month+(mnthchk1M+1)*oosperiod,12+1e-10)),...
'/',num2str(yr+IS+(month+(mnthchk1M+1)*oosperiod>12))];
TF3SMPOOS = contains(master.textdata(:,1),finishdtstrOOS);
TF3SMPOOS=find(TF3SMPOOS==1,1,'first')-1;
finishdtOOS=master.textdata(TF3SMPOOS,1);
retOOS=ret(TF2SMP+1-TF1+1:TF3SMPOOS-TF1+1,:);
rfind3OOS=find(rftable{:,1}==char(finishdtOOS),1,'first');
excessretOOS=retOOS-rftable{rfind2+1:rfind3OOS,2};
finalretOOS=sum(excessretOOS);
PortRetOOSbuffer=finalretOOS*ISportFDR/max(sum(ISportFDR),1);
PortRetOOS=(PortRetOOSbuffer>PortRetOOS)*PortRetOOSbuffer+...
(1-(PortRetOOSbuffer>PortRetOOS))*(PortRetOOSbuffer-PortRetOOS);
mnthchk1M=mnthchk1M+(PortRetOOS>0);
end
% 3M
mnthchk3M=0;
PortRetOOS=PortRetOOS3M(end);
mnthchk3M=mnthchk3M+3*(PortRetOOS>0);
while mnthchk3M<=12 && PortRetOOS>0
finishdtstrOOS=[num2str(rem(month+(mnthchk3M+3)*oosperiod,12+1e-10)),...
'/',num2str(yr+IS+floor((month+mnthchk3M+3)*oosperiod/12))];
TF3SMPOOS = contains(master.textdata(:,1),finishdtstrOOS);
TF3SMPOOS=find(TF3SMPOOS==1,1,'first')-1;
finishdtOOS=master.textdata(TF3SMPOOS,1);
retOOS=ret(TF2SMP+1-TF1+1:TF3SMPOOS-TF1+1,:);
rfind3OOS=find(rftable{:,1}==char(finishdtOOS),1,'first');
excessretOOS=retOOS-rftable{rfind2+1:rfind3OOS,2};
finalretOOS=sum(excessretOOS);
PortRetOOSbuffer=finalretOOS*ISportFDR/max(sum(ISportFDR),1);
PortRetOOS=(PortRetOOSbuffer>PortRetOOS)*PortRetOOSbuffer+...
(1-(PortRetOOSbuffer>PortRetOOS))*(PortRetOOSbuffer-PortRetOOS);
mnthchk3M=mnthchk3M+3*(PortRetOOS>0);
end
% 6M
mnthchk6M=0;
PortRetOOS=PortRetOOS6M(end);
mnthchk6M=mnthchk6M+6*(PortRetOOS>0);
while mnthchk6M<=12 && PortRetOOS>0
finishdtstrOOS=[num2str(rem(month+(mnthchk6M+6)*oosperiod,12+1e-10)),...
'/',num2str(yr+IS+floor((month+mnthchk6M+6)*oosperiod/12))];
TF6SMPOOS = contains(master.textdata(:,1),finishdtstrOOS);
TF6SMPOOS=find(TF6SMPOOS==1,1,'first')-1;
finishdtOOS=master.textdata(TF6SMPOOS,1);
retOOS=ret(TF2SMP+1-TF1+1:TF6SMPOOS-TF1+1,:);
rfind6OOS=find(rftable{:,1}==char(finishdtOOS),1,'first');
excessretOOS=retOOS-rftable{rfind2+1:rfind6OOS,2};
finalretOOS=sum(excessretOOS);
PortRetOOSbuffer=finalretOOS*ISportFDR/max(sum(ISportFDR),1);
PortRetOOS=(PortRetOOSbuffer>PortRetOOS)*PortRetOOSbuffer+...
(1-(PortRetOOSbuffer>PortRetOOS))*(PortRetOOSbuffer-PortRetOOS);
mnthchk6M=mnthchk6M+6*(PortRetOOS>0);
end
mnthchk1Mser(end+1)=mnthchk1M;
mnthchk3Mser(end+1)=mnthchk3M;
mnthchk6Mser(end+1)=mnthchk6M;
%% Intersection Portfolio Performance
InterPortOOS1M=mean(excessretOOS1M(:,intersect1),2);
InterPortOOS3M=mean(excessretOOS3M(:,intersect3),2);
InterPortOOS6M=mean(excessretOOS6M(:,intersect6),2);
InterPortRetOOS1M(end+1)=sum(InterPortOOS1M);
InterPortRetOOS3M(end+1)=sum(InterPortOOS3M);
InterPortRetOOS6M(end+1)=sum(InterPortOOS6M);
%% Robustness check (Intersection Portfolio)
% 1M
Intermnthchk1M=0;
InterPortRetOOS=InterPortRetOOS1M(end);
Intermnthchk1M=Intermnthchk1M+(InterPortRetOOS>0);
while Intermnthchk1M<=6 && InterPortRetOOS>0
finishdtstrOOS=[num2str(rem(month+(Intermnthchk1M+1)*oosperiod,12+1e-10)),...
'/',num2str(yr+IS+(month+(Intermnthchk1M+1)*oosperiod>12))];
TF3SMPOOS = contains(master.textdata(:,1),finishdtstrOOS);
TF3SMPOOS=find(TF3SMPOOS==1,1,'first')-1;
finishdtOOS=master.textdata(TF3SMPOOS,1);
retOOS=ret(TF2SMP+1-TF1+1:TF3SMPOOS-TF1+1,:);
rfind3OOS=find(rftable{:,1}==char(finishdtOOS),1,'first');
excessretOOS=retOOS-rftable{rfind2+1:rfind3OOS,2};
finalretOOS=sum(excessretOOS);
InterPortRetOOSbuffer=finalretOOS*intersect1/max(sum(intersect1),1);
InterPortRetOOS=(InterPortRetOOSbuffer>InterPortRetOOS)*InterPortRetOOSbuffer+...
(1-(InterPortRetOOSbuffer>InterPortRetOOS))*(InterPortRetOOSbuffer-InterPortRetOOS);
Intermnthchk1M=Intermnthchk1M+(InterPortRetOOS>0);
end
% 3M
Intermnthchk3M=0;
InterPortRetOOS=InterPortRetOOS3M(end);
Intermnthchk3M=Intermnthchk3M+3*(InterPortRetOOS>0);
while Intermnthchk3M<=12 && InterPortRetOOS>0
finishdtstrOOS=[num2str(rem(month+(Intermnthchk3M+3)*oosperiod,12+1e-10)),...
'/',num2str(yr+IS+floor((month+Intermnthchk3M+3)*oosperiod/12))];
TF3SMPOOS = contains(master.textdata(:,1),finishdtstrOOS);
TF3SMPOOS=find(TF3SMPOOS==1,1,'first')-1;
finishdtOOS=master.textdata(TF3SMPOOS,1);
retOOS=ret(TF2SMP+1-TF1+1:TF3SMPOOS-TF1+1,:);
rfind3OOS=find(rftable{:,1}==char(finishdtOOS),1,'first');
excessretOOS=retOOS-rftable{rfind2+1:rfind3OOS,2};
finalretOOS=sum(excessretOOS);
InterPortRetOOSbuffer=finalretOOS*intersect3/max(sum(intersect3),1);
InterPortRetOOS=(InterPortRetOOSbuffer>InterPortRetOOS)*InterPortRetOOSbuffer+...
(1-(InterPortRetOOSbuffer>InterPortRetOOS))*(InterPortRetOOSbuffer-InterPortRetOOS);
Intermnthchk3M=Intermnthchk3M+3*(InterPortRetOOS>0);
end
% 6M
Intermnthchk6M=0;
InterPortRetOOS=InterPortRetOOS6M(end);
Intermnthchk6M=Intermnthchk6M+6*(InterPortRetOOS>0);
while Intermnthchk6M<=12 && InterPortRetOOS>0
finishdtstrOOS=[num2str(rem(month+(Intermnthchk6M+6)*oosperiod,12+1e-10)),...
'/',num2str(yr+IS+floor((month+Intermnthchk6M+6)*oosperiod/12))];
TF6SMPOOS = contains(master.textdata(:,1),finishdtstrOOS);
TF6SMPOOS=find(TF6SMPOOS==1,1,'first')-1;
finishdtOOS=master.textdata(TF6SMPOOS,1);
retOOS=ret(TF2SMP+1-TF1+1:TF6SMPOOS-TF1+1,:);
rfind6OOS=find(rftable{:,1}==char(finishdtOOS),1,'first');
excessretOOS=retOOS-rftable{rfind2+1:rfind6OOS,2};
finalretOOS=sum(excessretOOS);
InterPortRetOOSbuffer=finalretOOS*intersect6/max(sum(intersect6),1);
InterPortRetOOS=(InterPortRetOOSbuffer>InterPortRetOOS)*InterPortRetOOSbuffer+...
(1-(InterPortRetOOSbuffer>InterPortRetOOS))*(InterPortRetOOSbuffer-InterPortRetOOS);
Intermnthchk6M=Intermnthchk6M+6*(InterPortRetOOS>0);
end
Intermnthchk1Mser(end+1)=Intermnthchk1M;
Intermnthchk3Mser(end+1)=Intermnthchk3M;
Intermnthchk6Mser(end+1)=Intermnthchk6M;
ISportFDRsize(end+1)=sum(ISportFDR);
IOS1MportFDRsize(end+1)=sum(IOS1MportFDR);
IOS3MportFDRsize(end+1)=sum(IOS3MportFDR);
IOS6MportFDRsize(end+1)=sum(IOS6MportFDR);
end
end
%% Sharpe ratio
ISSR=sharpe(ISportFDRser,0)*260^.5;
OOS1MSR=sharpe(OOS1MportFDRser,0)*260^.5;
OOS3MSR=sharpe(OOS3MportFDRser,0)*260^.5;
OOS6MSR=sharpe(OOS6MportFDRser,0)*260^.5;
IOS1MSR=sharpe(IOS1MportFDRser,0)*260^.5;
IOS3MSR=sharpe(IOS3MportFDRser,0)*260^.5;
IOS6MSR=sharpe(IOS6MportFDRser,0)*260^.5;
InterPortRetOOS1M(isnan(InterPortRetOOS1M))=0;
InterPortRetOOS3M(isnan(InterPortRetOOS3M))=0;
InterPortRetOOS6M(isnan(InterPortRetOOS6M))=0;
%% Recording the results
% Period
dim=1;
resvar{iter,dim}=yr;
% IS return (survivors)
dim=dim+1;
resvar{iter,dim}=(1+mean(PortRetIS))^(1/IS)-1;
% IOS return (full dataset survivors)
dim=dim+1;
resvar{iter,dim}=(1+sum(IOS1MportFDRser)/12)^(12/(IS*12+1))-1;
dim=dim+1;
resvar{iter,dim}=(1+sum(IOS3MportFDRser)/12)^(12/(IS*12+3))-1;
dim=dim+1;
resvar{iter,dim}=(1+sum(IOS6MportFDRser)/12)^(12/(IS*12+6))-1;
% OOS return (survivors)
dim=dim+1;
resvar{iter,dim}=(1+mean(PortRetOOS1M))^12-1;
dim=dim+1;
resvar{iter,dim}=(1+mean(PortRetOOS3M))^4-1;
dim=dim+1;
resvar{iter,dim}=(1+mean(PortRetOOS6M))^2-1;
% OOS return (intersection portfolio)
dim=dim+1;
resvar{iter,dim}=(1+mean(InterPortRetOOS1M))^12-1;
dim=dim+1;
resvar{iter,dim}=(1+mean(InterPortRetOOS3M))^4-1;
dim=dim+1;
resvar{iter,dim}=(1+mean(InterPortRetOOS6M))^2-1;
% Portfolio size
dim=dim+1;
resvar{iter,dim}=mean(ISportFDRsize);
dim=dim+1;
resvar{iter,dim}=mean(IOS1MportFDRsize);
dim=dim+1;
resvar{iter,dim}=mean(IOS3MportFDRsize);
dim=dim+1;
resvar{iter,dim}=mean(IOS6MportFDRsize);
% Sharpe ratio
dim=dim+1;
resvar{iter,dim}=ISSR;
dim=dim+1;
resvar{iter,dim}=OOS1MSR;
dim=dim+1;
resvar{iter,dim}=OOS3MSR;
dim=dim+1;
resvar{iter,dim}=OOS6MSR;
dim=dim+1;
resvar{iter,dim}=IOS1MSR;
dim=dim+1;
resvar{iter,dim}=IOS3MSR;
dim=dim+1;
resvar{iter,dim}=IOS6MSR;
dim=dim+1;
% Intersection Ratio
resvar{iter,dim}=mean(IOS1Mratio);
dim=dim+1;
resvar{iter,dim}=mean(IOS3Mratio);
dim=dim+1;
resvar{iter,dim}=mean(IOS6Mratio);
% Robustness check (IS survivors)
dim=dim+1;
resvar{iter,dim}=mean(mnthchk1Mser);
dim=dim+1;
resvar{iter,dim}=mean(mnthchk3Mser)/3;
dim=dim+1;
resvar{iter,dim}=mean(mnthchk6Mser)/6;
% Robustness check (intersection)
dim=dim+1;
resvar{iter,dim}=mean(Intermnthchk1Mser);
dim=dim+1;
resvar{iter,dim}=mean(Intermnthchk3Mser);
dim=dim+1;
resvar{iter,dim}=mean(Intermnthchk6Mser);
dim=dim+1;
resvar{iter,dim}=regions{i};
disp(['Processing done for ',regions{i},' period ',num2str(yearOOS), ' completed ...']);
toc;
end
end
result_table=cell2table(resvar);
result_table.Properties.VariableNames={'Year' 'FDRReturnIS' ...
'FDRReturnIOS1M' 'FDRReturnIOS3M' 'FDRReturnIOS6M'...
'FDRReturnOOS1M' 'FDRReturnOOS3M' 'FDRReturnOOS6M' ...
'InterReturnOOS1M' 'InterReturnOOS3M' 'InterReturnOOS6M'...
'FDRPortSizeIS' 'FDRPortSizeIOS1M' 'FDRPortSizeIOS3M' 'FDRPortSizeIOS6M' ...
'SharpeRatioIS' 'SharpeRatioOOS1M' 'SharpeRatioOOS3M' 'SharpeRatioOOS6M' ...
'SharpeRatioIOS1M' 'SharpeRatioIOS3M' 'SharpeRatioIOS6M' ...
'MatchRatio1M' 'MatchRatio3M' 'MatchRatio6M' ...
'Robustness_1MN' 'Robustness_3MN' 'Robustness_6MN'...
'InterRobustness_1MN' 'InterRobustness_3MN' 'InterRobustness_6MN' 'Country'};
%drpadd='/Empirics3/';
drpadd='C:\Dropbox\Dropbox\Shared_Folder\Chapter3\';
writetable(result_table,[drpadd,'CV_AnnualTable_',num2str(yearser(1)),'_',num2str(yearser(end)),'FF.xlsx'])
toc