While we have a foundation and momentum from the last post “SelectionShare & TimingShare | Masterfully Written by Delightfully Responsive Author” , we can run the Ekholm calculations on some popular funds to see how they have evolved since the early 1980s.  Remember these are my opinions and not investment advice.  I chose ... [Read more...]

Anders Ekholm has written a wonderful paper Ekholm, Anders G. Components of Portfolio Variance: Systematic, Selection and Timing August 8, 2014 http://ssrn.com/abstract=2463649 demonstrating how we might decompose a money manager’s performance with... [Read more...]

If Birmingham, UK has one, then Birmingham, AL, USA should too. There is a big gaping hole in R user groups between Georgia and Texas that I think needs filling.  Way back in 2011, I weakly posted R User Group Birmingham Alabama, but this time I am mo... [Read more...]

A kind reader commented “Don’t know if you have seen it, but Frazzini goes French now too” .  I have profusely thanked and praised Kenneth French for his incredible data library.  Now, it appears I’ll have to repeatedly do the same for Andrea... [Read more...]

In the past, getting Fama/French factors from the Kenneth French dataset involved a convoluted procedure to download the zip file, unzip the file, clean the data, and convert to xts.  Now with Quandl, we can do it simply in one line of code.  Note: ... [Read more...]

The R world keeps moving, and I noticed this old post didn’t work anymore, so I have rewritten it to use Hadley Wickham's httr instead of Rflickr for two reasons: Rflickr is not working for me anymore httr is a very helpful package for navigating the "what was scary ... [Read more...]

Another color experiment combining resources from R and Javascript.  I just wish I could do Mean Phylogenetic Distance in Javascript like rPlotter.  I enjoyed using d3.js zoom behavior to pan and zoom the image on canvas.  Also, filedrop.js made the... [Read more...]

code{white-space: pre;} pre:not([class]) { background-color: white; } if (window.hljs && document.readyState && document.readyState === "complete") { window.setTimeout(function() { hljs.initHighlighting(); }, 0);} Just some quick experiments with ggplot2 + magrittr to plot prices differently than the traditional ways. We wi€™ll get daily data on the S&P 500 from FRED using [Read more...]

I started down the color path with yesterday’s post Palette of Colors from Image %__% ggplot2 %__% rCharts + dimple.js.  Although R has lots of tools, such as RColorBrewer and the mentioned rPlotter, javascript does too with Gregor Aisch's chroma.js and this translated-from-Perl color-scheme-js. I figured I should explore these ... [Read more...]

I use rolling and running functions almost daily with financial time series. In my post A Whole New World with Chains and Pipes, I made this statement I have noticed that rolling analysis with xts can sometimes be slow. as.matrix is my favorite way to ... [Read more...]

In honor of the 4th of July, I thought a quick example of a pie chart on beer using the wonderful new d3pie library would be appropriate.  The rCharts binding with d3pie is simply an experiment now, but expect more in the near future.   Using slidify... [Read more...]

Open source allows us to do amazing things.  Take me for example.  I am a below average coder, and I can hack together these incredibly powerful tools to do something like below. Some might naively say that rCharts and ggvis are competitors.  Howeve... [Read more...]

I think that the recent shift in the R world to chains and pipes will become permanent.  Even if not, this style of code translates well to Javascript and other languages.  I thought a finance example exploring Fama/French factors with dplyr, magritt... [Read more...]

In a recent working paper from the prolific AQR Research Factory, the authors seek to dispel ten common myths of momentum investing.  To their credit, they use the fine data publicly available from Kenneth French and use fairly simple metrics to make ... [Read more...]

Antti Petajisto got a lot of attention with his research on Active Share and Tracking Error in mutual fund management.  While the research is fairly compelling, there is a missing discussion about a potential relationship between the two measures. The... [Read more...]

I admit it looks like I am the only person in the world who has not read Michael Lewis’  Flash Boys. I was more attracted to this fine paper with slightly fewer views than Flash Boys. Baron, Matthew and Brogaard, Jonathan and Kirilenko, Andrei A.... [Read more...]

I really enjoy reading old books, especially finance books, from Google Books.  With all the changes in the world, their continued relevance amazes me.  For instance, as I prepared for my talk about Wealth and Skill, I rediscovered Developing Financi... [Read more...]

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 m... [Read more...]

Fama and French changed the financial world with their factors in 1993.  Another duo Andrea Frazzini and Lasse Heje Pedersen have expanded our world with their Betting Against Beta (BAB) and Quality Minus Junk (QMJ)  factors.  The combined factor se... [Read more...]

I enjoyed talking to University of Alabama students this morning about wealth, skill, and luck.  I tried to synthesize a whole lot of research into something meaningful.  Of course, it would not have been possible without rCharts + Slidify.  Thanks ... [Read more...]