tidyquant Integrates Quandl: Getting Data Just Got Easier
Written by Matt Dancho on March 19, 2017
Today I’m very pleased to introduce the new Quandl API integration that is available in the development version of tidyquant
. Normally I’d introduce this feature during the next CRAN release (v0.5.0 coming soon), but it’s really useful and honestly I just couldn’t wait. If you’re unfamiliar with Quandl, it’s amazing: it’s a web service that has partnered with toptier data publishers to enable users to retrieve a wide range of financial and economic data sets, many of which are FREE! Quandl has it’s own R package (aptly named Quandl
) that is overall very good but has one minor inconvenience: it doesn’t return multiple data sets in a “tidy” format. This slight inconvenience has been addressed in the integration that comes packaged in the latest development version of tidyquant
. Now users can use the Quandl API from within tidyquant
with three functions: quandl_api_key()
, quandl_search()
, and the core function tq_get(get = "quandl")
. In this post, we’ll go through a usercontributed example, How To Perform a Fama French 3 Factor Analysis, that showcases how the Quandl integration fits into the “Collect, Modify, Analyze” financial analysis workflow. Interested readers can download the development version using devtools::install_github("businessscience/tidyquant")
. More information is available on the tidyquant GitHub page including the updated development vignettes.
Table of Contents
 Overview
 Prerequisites
 Example: How to Perform a Fama French 3 Factor Analysis
 Conclusion
 Recap
 Further Reading
Overview
tidyquant: Bringing financial analysis to the tidyverse
The topic for today is the Quandl integration today. Quandl enables access to a wide range of financial and economic data. It has it’s own R library appropriately named Quandl
. Users can sign up for a FREE account, and in return users get an API key that enables access to numerous free and paid data sets. The Quandl
package is very good: it enables searching the Quandl databases from the R console. Once a data set is found, the data set “code” can be used to retrieve the data in various formats. The one downside is that, although you can get multiple data sets (e.g. for multiple stocks, FRED codes, etc), the data returned is not “tidy”. This is where the tidyquant
integration fits in. The integration makes it even more convenient to get data, and when multiple data sets are retrieved they are returned in one “tidy” data frame (aka “long” format which is perfect for grouping and scaling analysis)! In addition, you only need to load one package, tidyquant
, to get the full capabilities of the Quandl API. The figure below shows how Quandl fits into the “Collect, Modify, Analyze” tidyquant
financial analysis workflow.
If you are new to tidyquant
, there’s a few core functions that you need to be aware of. I’ve broken them down by step in the CMA process.

Upstream (Collect):
tq_get()
is a onestop shop for getting webbased financial data in a “tidy” data frame format. Get data for daily stock prices (historical), key statistics (realtime), key ratios (historical), financial statements, economic data from the FRED, FOREX rates from Oanda, and now Quandl!  Midstream (Modify):
tq_transmute()
andtq_mutate()
manipulate financial data.tq_mutate()
is used to add a column to the data frame.tq_transmute()
is used to return a new data frame which is necessary for periodicity changes.tq_portfolio()
aggregates a group (or multiple groups) of asset returns into one or more portfolios.
 Downstream (Analyze):
tq_performance()
integratesPerformanceAnalytics
functions that turn investment returns into performance metrics.
To learn more about the functions, browse the Development Vignettes on GitHub.
Prerequisites
To use the Quandl integration and other new tidyquant
features, you’ll need to install the development version available on the Business Science GitHub Site. You can download with devtools
.
Next, load tidyquant
, broom
and corrr
packages. The broom
and corrr
packages will help in our analysis at the end of the financial analysis workflow.
I also recommend the opensource RStudio IDE, which makes R Programming easy and efficient especially for financial analysis. Now, onto a really neat example showing off why Quandl is such a great tool.
Example: How To Perform a Fama French 3 Factor Analysis
Before we get started, I’d like to thank Bob Rietveld for the usage case. He’s been doing a lot of work with Fama French three and five factor models. You can find an example of his FF analyses here. In this example, we’ll perform a Fama French three factor regression on a portfolio of the following stocks: 20% AAPL, 20% F, 40% GE, and 20% MSFT. According to Investopedia:
The Fama and French Three Factor Model is an asset pricing model that expands on the capital asset pricing model (CAPM) by adding size and value factors to the market risk factor in CAPM. This model considers the fact that value and smallcap stocks outperform markets on a regular basis. By including these two additional factors, the model adjusts for the outperformance tendency, which is thought to make it a better tool for evaluating manager performance.
The CMA process steps we’ll implement are as follows:
 Collect Data: We’ll use the new Quandl integration to get both stock prices and Fama French data sets.
 Modify Data: This is a portfolio analysis so we’ll need to aggregate stock returns into a weighted portfolio
 Analyze Data: We’ll perform a regression analysis, and we need the
broom
package for thetidy()
andglance()
functions.
Step 1: Collect Data
In this step, we will collect two data frames. The first is the historical stock returns for individual stocks. The second is the Fama French three factor data set. We are going to use the Quandl API integration so first set your API key using quandl_api_key()
. If you don’t have an API key yet, you can sign up with Quandl.
Collecting Historical Stock Returns
Next, let’s create a table of stocks. We will use the “WIKI” database which returns open, high low, close, volume, dividends, splits, and adjusted prices. The Quandl data sets use the following code format: “Database” / “Data Set”. For “AAPL”, this would be “WIKI/AAPL” indicating the WIKI database and AAPL data set. The code in the first column will allow us to pipe (%>%
) the stock list to the tq_get()
function next.
Once we have the stocks, we can very easily use tq_get(get = "quandl")
to get stock prices and even stock returns depending on the options we use. The following time series options are available to be passed to the underlying Quandl::Quandl()
function:
order
= “asc”, “desc”start_date
(from
) = “yyyymmdd”end_date
(to
) = “yyyymmdd”column_index
= numeric column number (e.g. 1)rows
= numeric row number indicating first n rows (e.g. 100)collapse
= “none”, “daily”, “weekly”, “monthly”, “quarterly”, “annual”transform
= “none”, “diff”, “rdiff”, “cumul”, “normalize”
We’ll use from
and to
to select a ten year time period from the beginning of 2007 through the end of 2016, transform = "rdiff"
to get percentage returns, collapse = "monthly"
to get monthly data, and column_index = 11
to get the eleventh column, “adj.close”. We’ll rename
the column from “adj.close” to “monthly.returns” to accurately describe the values.
Collecting Fama French 3Factor Monthly Data
Next, we need to get the Fama French data. Suppose we don’t know exactly what we are looking for. We’ll use the function, quandl_search()
, to query the Quandl API (a wrapper for Quandl.search()
). We can search within the R console by setting query
to a descriptive value. We’ll set per_page = 5
to get the top 5 results. We’ll set silent = TRUE
to turn off the meta data output (in practice it may be beneficial to leave this easytoread option on). The results returned contain the “id”, dataset_code, “database_code”, “name”, “description”, etc, which gives us both insight into the data set contents and the information needed to retrieve. I’ve removed “description” to make it easier to view the information.
id  dataset_code  database_code  name  refreshed_at  newest_available_date  oldest_available_date  column_names  frequency  type  premium  database_id 

30216128  MOMENTUM_A  KFRENCH  Fama/French Factors (Annual)  20170318T21:08:12.712Z  20161231  19271231  Date, Momentum  annual  Time Series  FALSE  389 
30579533  FACTORS_A  KFRENCH  Fama/French Factors (Annual)  20170318T21:06:21.885Z  20161231  19271231  Date, MktRF, SMB, HML, RF  annual  Time Series  FALSE  389 
2292156  FACTORS_M  KFRENCH  Fama/French Factors (Monthly)  20170318T21:06:21.953Z  20170131  19260731  Date, MktRF, SMB, HML, RF  monthly  Time Series  FALSE  389 
2292158  FACTORS_W  KFRENCH  Fama/French Factors (Weekly)  20170318T21:06:25.103Z  20170127  19260702  Date, MktRF, SMB, HML, RF  weekly  Time Series  FALSE  389 
2676225  MOMENTUM_M  KFRENCH  Fama/French Factors (Monthly)  20170318T21:08:12.746Z  20170131  19270131  Date, Momentum  monthly  Time Series  FALSE  389 
The third result, “FACTORS_M”, is what we need. We can retrieve with tq_get(get = "quandl")
by piping (%>%
) "KFRENCH/FACTORS_M"
. (Remember that the format is always database code / dataset code). We’ll tack on collapse = "monthly"
to ensure the dates match up with the returns, stock_returns_quandl
.
Now we have all of the data needed. We are ready to move on to modifying the data.
Step 2: Modify Data
There’s two parts to this step. First, we will aggregate the portfolio in the weights specified in the beginning of the example:
 20% AAPL, 20% F, 40% GE, and 20% MSFT.
Second, we will join the aggregated portfolio returns with the Fama French data.
Aggregate Portfolio
Portfolio aggregation is performed using tq_portfolio()
as follows. We create a tibble (“tidy” data frame) of weights that can be mapped using the first column, “stocks”.
Then we pass the individual stock returns, stock_returns_quandl
, to the tq_portfolio()
function specifying the assets column “symbol” and the returns column “monthly.returns”. The weights_tib
tibble is also passed to the weights
argument. Note that there is also an argument, rebalance_on = c(NA, "years", "quarters", "months", "weeks", "days")
if rebalancing is a consideration to factor into the model. Last, the output column is renamed to “monthly.returns” using the col_rename
argument.
Join Portfolio Returns and Fama French Data
We can join the two data sets by the “date” column in each using left_join
from the dplyr
package.
Now we are ready to analyze.
Step 3: Anaylze Data
In the final step we will analyze two ways. First, we will perform the three factor regression, which yields model parameters. Second, we will review visually by plotting a correlation matrix.
Three Factor Regression Model
The article, “Rolling Your Own: ThreeFactor Analysis”, by William J. Bernstein with Efficient Frontier goes through an excellent stepbystep explaining the method. We are concerned with the following variables:
 Return of the Total Market minus the TBill return (mkt.rf): The return of the total market (CRSP 110) minus the Tbill return (Mkt)
 Small Minus Big (smb): The return of small company stocks minus that of big company stocks
 High Minus Low (hml): The return of the cheapest third of stocks sorted by price/book minus the most expensive third
Three factor regression is performed with the lm()
function by analyzing the relationship between the portfolio returns and the three FF factors.
Using glance
from the broom
package, we can review the regression metrics. Note kable()
from the knitr
package is used to create aesthetically pleasing tables. We can see from the “r.squared” value that 67% of the variance of the portfolio returns is explained by the model.
r.squared  adj.r.squared  sigma  statistic  p.value  df  logLik  AIC  BIC  deviance  df.residual 

0.6709785  0.6623953  0.0424483  78.17375  0  4  209.1576  408.3151  394.4195  0.2072133  115 
Using tidy
from the broom
package, we can review the model coefficients: these are the most interesting. The intercept is the alpha, and at 0.005 the portfolio is outperforming the model by approximately 0.005% per month or roughly 0.055% per year (although the pvalue indicates this is not statistically significant). Next are the “loadings” for the three factors. The “mkt.rf” is the beta for the portfolio, which indicates very low volatility compared to the market (anything less than 1.0 means lower volatility than the market). The “smb” value of essentially zero signifies largecap (anything below 0 is large cap, above 0.5 is small cap). The “hml” value of essentially zero signifies a growth fund (a zero value defines a growth portfolio, a value of more than 0.3, a value fund).
term  estimate  std.error  statistic  p.value 

(Intercept)  0.0046336  0.0039400  1.1760314  0.2420111 
mkt.rf  0.0138197  0.0009619  14.3665066  0.0000000 
smb  0.0027443  0.0018407  1.4909358  0.1387162 
hml  0.0013105  0.0014951  0.8765756  0.3825446 
Visualize Correlations
We can also visualize the results using the new corrr
package to get a sense of the relationship the portfolio returns to each of the factors. The correlate()
function creates a correlation matrix. The shave()
function removes the upper diagonal.
rowname  monthly.returns  mkt.rf  smb  hml 

monthly.returns  
mkt.rf  .81  
smb  .22  .36  
hml  .22  .33  .19 
Visualizing is just one more step with rplot()
(similar to ggplot() + correlation geom
). We can see that the market reference is highly correlated to the monthly portfolio returns, but this is the only value that has a significant correlation.
Conclusions
The new Quandl integration opens up a lot of doors with regards to financial and economic data. The API is now integrated into the “tidyverse” workflow enabling scaling and easy data manipulations following the “Collect, Modify, Analyze” financial analysis workflow we use with tidyquant
. The Fama French analysis is just one example of new and interesting analyses that are now easily performed. This is just the beginning. Feel free to email us at Business Science with new and interesting ways you are using tidyquant
!
Recap
We covered a lot of ground today. We exposed you to the new Quandl integration and how it fits within the “Collect, Modify, Analyze” financial analysis workflow. We used quandl_api_key()
to set an API key, enabling access to the Quandl API. We used quandl_search()
to search the Quandl API for Fama French data. We used tq_get(get = "quandl")
to retrieve data from Quandl, passing various options to conveniently get monthly returns. We aggregated a portfolio using tq_portfolio
and joined the portfolio returns with the Fama French data. We then performed a basic Fama French Three Factor analysis. The entire analysis from beginning to end was easy, efficient, and “tidy”! =)
Further Reading

TQ01Core Functions in tidyquant, Development Version: The Core Functions in tidyquant vignette (development version) has a nice section on the features related to the Quandl integration!

R for Data Science: A free book that thoroughly covers the “tidyverse”. A prerequisite for maximizing your abilities with
tidyquant
.