Posts Tagged ‘ factors ’

Weekend Reading – Facebook’s P/E ratio

October 7, 2012
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Weekend Reading – Facebook’s P/E ratio

The Barron’s article Still Too Pricey by Andrew Bary looks at the share price of the Facebook and based on the P/E ration valuation metrics concludes that even at the current prices, stock is overvalued. I want to show how to do this type of fundamental analysis using the Systematic Investor Toolbox. First let’s load

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More on Factor Attribution to improve performance of the 1-Month Reversal Strategy

July 26, 2012
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More on Factor Attribution to improve performance of the 1-Month Reversal Strategy

In my last post, Factor Attribution to improve performance of the 1-Month Reversal Strategy, I discussed how Factor Attribution can be used to boost performance of the 1-Month Reversal Strategy. Today I want to dig a little dipper and examine this strategy for each sector and also run a sector-neutral back-test. The initial steps to

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Factor Attribution to improve performance of the 1-Month Reversal Strategy

July 16, 2012
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Factor Attribution to improve performance of the 1-Month Reversal Strategy

Today I want to show how to use Factor Attribution to boost performance of the 1-Month Reversal Strategy. The Short-Term Residual Reversal by D. Blitz, J. Huij, S. Lansdorp, M. Verbeek (2011) paper presents the idea and discusses the results as applied to US stock market since 1929. To improve 1-Month Reversal Strategy performance authors

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1-Month Reversal Strategy

July 12, 2012
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1-Month Reversal Strategy

Today I want to show a simple example of the 1-Month Reversal Strategy. Each month we will buy 20% of loosers and short sell 20% of winners from the S&P 500 index. The loosers and winners are measured by prior 1-Month returns. I will use this post to set the stage for my next post

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Example of Factor Attribution

July 3, 2012
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Example of Factor Attribution

In the prior post, Factor Attribution 2, I have shown how Factor Attribution can be applied to decompose fund’s returns in to Market, Capitalization, and Value factors, the “three-factor model” of Fama and French. Today, I want to show you a different application of Factor Attribution. First, let’s run Factor Attribution on each the stocks

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Factor Attribution 2

June 26, 2012
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Factor Attribution 2

I want to continue with Factor Attribution theme that I presented in the Factor Attribution post. I have re-organized the code logic into the following 4 functions: factor.rolling.regression – Factor Attribution over given rolling window factor.rolling.regression.detail.plot – detail time-series plot and histogram for each factor factor.rolling.regression.style.plot – historical style plot for selected 2 factors factor.rolling.regression.bt.plot

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Factor Attribution

June 19, 2012
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Factor Attribution

I came across a very descriptive visualization of the Factor Attribution that I will replicate today. There is the Three Factor Rolling Regression Viewer at the mas financial tools web site that performs rolling window Factor Analysis of the “three-factor model” of Fama and French. The factor returns are available from the Kenneth R French:

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System from Trend Following Factors

June 1, 2012
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System from Trend Following Factors

As I thought more about Trend Following Factors from Hsieh and Fung, I thought that the trend following factors might indicate a state/regime for the equity markets that could potentially offer momentum-style timing signals for a system on the S&P ...

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Trend Following Factors from Hsieh and Fung

May 25, 2012
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Trend Following Factors from Hsieh and Fung

The beauty of R and academic replication is that on the Friday before Memorial Day weekend I can read an academic paper and do some analysis all before breakfast.  In this case, the paper is Hsieh, David A. and Fung, William, The Risk in Hedge F...

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French Global Factors

April 30, 2012
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French Global Factors

I have said it already in multiple posts, but Kenneth French’s data library is one of the most generous and powerful contributions to the financial community.  To build on Systematic Investor’s series on factors, I thought I should run some ba...

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