1.6 Correlation

library(corrplot)

## corrplot 0.90 loaded

library(dplyr, quietly = TRUE)

## 
## Attaching package: 'dplyr'

## The following objects are masked from 'package:stats':
## 
##     filter, lag

## The following objects are masked from 'package:base':
## 
##     intersect, setdiff, setequal, union

sp500_px <- read.csv("data/sp500_data.csv.gz") %>% 
  as_tibble()
sp500_sym <- read.csv("data/sp500_sectors.csv", stringsAsFactors = FALSE) %>% 
  as_tibble()
etfs <- sp500_px %>% 
  filter(X > "2012-07-01") %>% 
  select(
    any_of(
      sp500_sym %>% 
        filter(sector == "etf") %>% 
        pull(symbol)
    )
  )

corrplot(cor(etfs), method = "ellipse")