All the Factors | More Looks

April 23, 2014
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(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers)

Well, my last post Exploring Factors with rCharts and factorAnalytics got enough attention to motivate me to pull in some more Asness, Frazzini, Pedersen factors and plot them in some different ways.  The additional factors are US and global UMD (up minus down) and QMJ (quality minus junk) introduced in this paper. Quality Minus Junk Asness, Clifford S. and Frazzini, Andrea and Pedersen, Lasse

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