Articles by klr

Popular Mutual Funds Decomposed With Ekholm (2014)

October 6, 2014 | klr

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...]

R User Group in Birmingham, AL

September 11, 2014 | klr

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...]

Frazzini goes French

September 9, 2014 | klr

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...]

Fama/French Factors in 1 line of code

August 11, 2014 | klr

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...]

Refresh Old rCharts+flickr post with httr and pipeR

July 30, 2014 | klr

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...]

Chart from R + Color from Javascript

July 22, 2014 | klr

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...]

Alternate Price Plots | ggplot2 + magrittr

July 17, 2014 | klr

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...]

Pick a Color Site built in R with Shiny tags %$%

July 16, 2014 | klr

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...]

Speed Tests for Rolling/Running Functions

July 8, 2014 | klr

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...]

Beer and Pie | rCharts pie charts with d3pie

July 3, 2014 | klr

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...]

A Whole New R World with Chains and Pipes

June 23, 2014 | klr

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...]

Dispelling Myths of Momentum | AQR Research Factory

June 6, 2014 | klr

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...]

High Frequency | Winners and Losers by Chord

May 6, 2014 | klr

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...]

Slidify Old Book Images from Google Books

April 29, 2014 | klr

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...]

All the Factors | More Looks

April 23, 2014 | klr

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...]

Exploring Factors with rCharts and factorAnalytics

April 21, 2014 | klr

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...]

Wealth and Skill | A Talk to Students

April 15, 2014 | klr

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...]
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