ETFと利回りを比較

代表的なETFと債権利回りの推移を比較します。データは stooqから取得したものを取得しています。

『メディアプログラミング入門 WebスクレイピングとWebAPI』の講義資料45pで紹介されていたPandas Datareaderを使用しています。

import numpy as np
import pandas as pd
import pandas_datareader.data as web
import matplotlib.pyplot as plt
import japanize_matplotlib
from IPython.display import display, HTML
from utils import get_finance_data, get_rsi

ETF

pandas.DataFrame.sort_index

# 銘柄名、期間、保存先ファイル
start = "2021-08-01"
end = "2022-01-31"

# データを取得する
voo = get_finance_data("VOO", source="stooq", start=start, end=end)
display(HTML(f"<h3>VOO</h3>"))
display(voo.head())

vti = get_finance_data("VTI", source="stooq", start=start, end=end)
display(HTML(f"<h3>VTI</h3>"))
display(vti.head())

spx = get_finance_data("^SPX", source="stooq", start=start, end=end)
display(HTML(f"<h3>S&P500</h3>"))
display(spx.head())

ndq = get_finance_data("^NDQ", source="stooq", start=start, end=end)
display(HTML(f"<h3>Nasdaq</h3>"))
display(ndq.head())

VOO

	Open	High	Low	Close	Volume
Date
2022-01-31	405.67	413.9700	404.3500	413.69	9200435
2022-01-28	397.82	406.3300	393.3000	406.26	12096807
2022-01-27	402.93	405.9700	394.8200	396.54	12455226
2022-01-26	405.66	408.1954	394.3400	398.56	14377346
2022-01-25	398.17	404.2600	392.7325	399.46	16836326

VTI

	Open	High	Low	Close	Volume
Date
2022-01-31	222.09	226.950	221.22	226.81	5306436
2022-01-28	217.50	222.170	214.93	222.09	4961209
2022-01-27	220.81	222.400	215.90	216.75	5791524
2022-01-26	222.72	224.160	216.05	218.37	7096416
2022-01-25	219.10	222.015	215.64	219.22	6600378

S&P500

	Open	High	Low	Close	Volume
Date
2022-01-31	4431.79	4516.89	4414.02	4515.55	2960132803
2022-01-28	4336.19	4432.72	4292.46	4431.85	2926083817
2022-01-27	4380.58	4428.74	4309.50	4326.51	3070684348
2022-01-26	4408.43	4453.23	4304.80	4349.93	3239353450
2022-01-25	4366.64	4411.01	4287.11	4356.45	3069079477

Nasdaq

	Open	High	Low	Close	Volume
Date
2022-01-31	13812.20	14242.90	13767.71	14239.88	3268652504
2022-01-28	13436.71	13771.91	13236.55	13770.57	3092819850
2022-01-27	13710.99	13765.91	13322.66	13352.78	3373437394
2022-01-26	13871.77	14002.65	13392.19	13542.12	3664304374
2022-01-25	13610.87	13781.63	13414.14	13539.29	3265336637

債権利回り

usy10 = get_finance_data("10USY.B", source="stooq", start=start, end=end)
display(HTML(f"<h3>10-Year U.S. Bond Yield</h3>"))
display(usy10.head())

usy2 = get_finance_data("2USY.B", source="stooq", start=start, end=end)
display(HTML(f"<h3>2-Year U.S. Bond Yield</h3>"))
display(usy2.head())

10-Year U.S. Bond Yield

	Open	High	Low	Close
Date
2022-01-31	1.789	1.816	1.771	1.780
2022-01-28	1.830	1.848	1.773	1.777
2022-01-27	1.840	1.851	1.783	1.799
2022-01-26	1.769	1.876	1.769	1.867
2022-01-25	1.753	1.792	1.735	1.776

2-Year U.S. Bond Yield

	Open	High	Low	Close
Date
2022-01-31	1.1986	1.2145	1.1587	1.1827
2022-01-28	1.2141	1.2260	1.1603	1.1703
2022-01-27	1.1822	1.2061	1.1603	1.1882
2022-01-26	1.0313	1.1603	1.0154	1.1544
2022-01-25	1.0055	1.0353	0.9897	1.0254

plt.figure(figsize=(12, 4))
plt.plot(usy10.Close, label="米国債券10年 年利回り")
plt.plot(usy2.Close, label="米国債券2年 年利回り")
plt.legend()
plt.tick_params(rotation=90)
plt.grid()
plt.show()

png

S&P500と１０年債利回りの比較

Invert Axes

import mplfinance as mpf

fig = mpf.figure(figsize=(16, 7), tight_layout=True, style="default")

ax1 = fig.add_subplot(111)
ax2 = ax1.twinx()
mpf.plot(spx, type="candle", style="yahoo", datetime_format="%Y/%m/%d", ax=ax1)
ax1.set_ylabel("S&P500")
ax1.invert_xaxis()

mpf.plot(
    usy10,
    type="line",
    style="starsandstripes",
    datetime_format="%Y/%m/%d",
    ax=ax2,
)

# 左側にラベルを表示する
ax2.tick_params(labelleft=True, labelright=False)
ax2.set_ylabel("10-Year U.S. Bond Yield")
ax2.yaxis.set_label_position("left")
ax2.legend(["10-Year U.S. Bond Yield"])

<matplotlib.legend.Legend at 0x7fcc4de60970>

png

ETFと利回りを比較

ETF

VOO

VTI

S&P500

Nasdaq

債権利回り

10-Year U.S. Bond Yield

2-Year U.S. Bond Yield

S&P500と１０年債利回りの比較

コメント欄