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Last active August 29, 2015 14:07
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Ekholm Decomposition of Hussman Strategic Growth (HSGFX)
# perform Ekholm (2012,2014) analysis on some popular mutual funds
# Ekholm, A.G., 2012
# Portfolio returns and manager activity:
# How to decompose tracking error into security selection and market timing
# Journal of Empirical Finance, Volume 19, pp 349-€“358
# Ekholm, Anders G., July 21, 2014
# Components of Portfolio Variance:
# R2, SelectionShare and TimingShare
# Available at SSRN: http://ssrn.com/abstract=2463649
library(Quandl) # use to get Fama/French factors
library(pipeR) # pipes are the future or R
library(rlist) # rlist - like underscore/lodash for R lists
library(dplyr) # super fast and really powerful
library(tidyr) # next gen wide/long formatter package
library(latticeExtra) # old but still awesome
library(directlabels) # fantastic and works with ggplot & lattice
library(quantmod) # also will load xts
# use Quandl Kenneth French Fama/French factors
# http://www.quandl.com/KFRENCH/FACTORS_D
f <- Quandl("KFRENCH/FACTORS_D",type = "xts") / 100
# grab our function from post
# http://timelyportfolio.blogspot.com/2014/10/selectionshare-timingshare-masterfully.html
source(paste0(
"https://gist.githubusercontent.com/timelyportfolio/e5728c8c7fb45dbdb6e0",
"/raw/e124379f19225fcdee18f30cb848da6fc6cae764/ekholm.R"
))
c( "HSGFX" ) %>>%
(~ lapply(
.
,function(ticker) {
ticker %>>%
getSymbols( from = "1896-01-01", auto.assign = F ) %>>%
(fund ~
structure(
fund[,6] / stats::lag( fund[,6], 1 ) - 1
,dimnames = list(NULL,gsub(x = colnames(fund)[6], pattern = "[\\.]Adjusted", replacement = ""))
)
) %>>%
merge( f ) %>>% # Quandl("KFRENCH/FACTORS_D",type = "xts") / 100
na.omit %>>%
rollapply (
FUN= function(x){
x %>>%
jensen_ekholm %>>%
( data.frame( summary(.[["linmod"]])$"r.squared" , .$ekholm ) ) %>>%
xts(order.by=tail(index(x),1)) -> return_df
colnames(return_df)[1] <- "R_sq"
return(return_df)
}
, width = 500
#, by = 100
, by.column=F
, fill = NULL
) %>>%
na.fill(0)
}) -> ekFunds
) %>>%
( names(ekFunds) = . )
ekFunds %>>%
list.map(
f(fund,i) -> {
structure(
data.frame(
date = index(fund)
, fund = names(ekFunds)[i]
, fund
)
) %>>%
gather(measure,value,-date,-fund)
}
) %>>%
(
do.call( rbind , . )
) -> ekT
ekT %>>%
# just plot at R^2, SelectionShare, and TimingShare
filter( measure %in% c("R_sq","SelectionShare","TimingShare") ) %>>%
(
xyplot(
value ~ date | measure
, groups = fund
, data = .
, type = "l"
# using direct.label so not necessary
, auto.key = list( space = "right" )
# title our plot
, main = paste(
"Comparison of Ekholm Decomposition for Various Mutual Funds"
,paste0("2 Year Rolling since ",format(.$date[1],format="%b %d, %Y"))
,sep="\n"
)
# layout one on top of the other
, layout = c(1,length(unique(.$measure)))
)
) %>>%
# I like labels on plot rather than legend
directlabels::direct.label( method = "last.qp" ) %>>%
# pretty it up with the latticeExtra Economist theme
asTheEconomist
ekT %>>%
# just plot at R^2, SelectionShare, and TimingShare
filter( measure %in% c("R_sq","SelectionShare","TimingShare") ) %>>%
(
nPlot(
value ~ date
,group="measure"
,data = .
,type="stackedAreaChart"
)
) %>>%
(~ .$xAxis(
tickFormat = "#!function(d){ return d3.time.format('%b %Y')(new Date( d * 24 * 60 * 60 * 1000 ))}!#"
) ) %>>%
(~ .$chart( useInteractiveGuideline = T ) )# %>>% (~ .$publish("Ekholm Decomposition of Hussman Strategic Growth (HSGFX)" ) )
<!doctype HTML>
<meta charset = 'utf-8'>
<html>
<head>
<link rel='stylesheet' href='http://nvd3.org/assets/css/nv.d3.css'>
<script src='http://ajax.googleapis.com/ajax/libs/jquery/1.8.2/jquery.min.js' type='text/javascript'></script>
<script src='http://d3js.org/d3.v3.min.js' type='text/javascript'></script>
<script src='http://timelyportfolio.github.io/rCharts_nvd3_tests/libraries/widgets/nvd3/js/nv.d3.min-new.js' type='text/javascript'></script>
<script src='http://nvd3.org/assets/lib/fisheye.js' type='text/javascript'></script>
<style>
.rChart {
display: block;
margin-left: auto;
margin-right: auto;
width: 800px;
height: 400px;
}
</style>
</head>
<body >
<div id = 'chart14b461ad4abe' class = 'rChart nvd3'></div>
<script type='text/javascript'>
$(document).ready(function(){
drawchart14b461ad4abe()
});
function drawchart14b461ad4abe(){
var opts = {
"dom": "chart14b461ad4abe",
"width": 800,
"height": 400,
"x": "date",
"y": "value",
"group": "measure",
"type": "stackedAreaChart",
"id": "chart14b461ad4abe"
},
data = [
{
"date": 11892,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1575825154683
},
{
"date": 11893,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1574484881419
},
{
"date": 11894,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1597209029106
},
{
"date": 11897,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1364749785138
},
{
"date": 11898,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1373636135712
},
{
"date": 11899,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1378117685881
},
{
"date": 11900,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1349711573344
},
{
"date": 11901,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1311464624954
},
{
"date": 11904,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1296320605483
},
{
"date": 11905,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1285692217804
},
{
"date": 11906,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.129636638269
},
{
"date": 11907,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1298352095955
},
{
"date": 11908,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1289056676763
},
{
"date": 11911,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1300213668784
},
{
"date": 11912,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1297183916766
},
{
"date": 11913,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1214095884317
},
{
"date": 11914,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1187011000119
},
{
"date": 11915,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1197580396218
},
{
"date": 11918,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1164878522334
},
{
"date": 11919,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1151951558532
},
{
"date": 11920,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1158093299459
},
{
"date": 11921,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1155782452912
},
{
"date": 11922,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.112208831886
},
{
"date": 11925,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.111711644341
},
{
"date": 11926,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1094467806299
},
{
"date": 11927,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1083221387162
},
{
"date": 11928,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1083567064533
},
{
"date": 11929,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1084519605491
},
{
"date": 11933,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.103958380474
},
{
"date": 11934,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1036041425587
},
{
"date": 11935,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1031583938588
},
{
"date": 11936,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1004793221662
},
{
"date": 11939,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.09995560985879
},
{
"date": 11940,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1001506669916
},
{
"date": 11941,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.1000187212496
},
{
"date": 11942,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.0972806561971
},
{
"date": 11943,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.09752261566736
},
{
"date": 11946,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.09747869745643
},
{
"date": 11947,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.09524449613237
},
{
"date": 11948,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.09859529442337
},
{
"date": 11949,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.09888048410394
},
{
"date": 11950,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.09891656947316
},
{
"date": 11953,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.09778966827669
},
{
"date": 11954,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.09639070297117
},
{
"date": 11955,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.09607743652006
},
{
"date": 11956,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.09514006786005
},
{
"date": 11957,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.09334568154125
},
{
"date": 11960,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.08907764657631
},
{
"date": 11961,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.09289451108038
},
{
"date": 11962,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.09260678186147
},
{
"date": 11963,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.09415762012907
},
{
"date": 11964,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.09377338115134
},
{
"date": 11967,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.0915932450763
},
{
"date": 11968,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.08961927268358
},
{
"date": 11969,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.08717693704199
},
{
"date": 11970,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.0860895369927
},
{
"date": 11971,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.08555479790708
},
{
"date": 11974,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.08321524095564
},
{
"date": 11975,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.07585157632352
},
{
"date": 11976,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.07490216496019
},
{
"date": 11977,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.07215268186643
},
{
"date": 11978,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.07239962575526
},
{
"date": 11981,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.0666086797831
},
{
"date": 11982,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06596200985216
},
{
"date": 11983,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06629720096924
},
{
"date": 11984,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06657447431623
},
{
"date": 11985,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06492806196552
},
{
"date": 11988,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06461158603776
},
{
"date": 11989,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06425056738209
},
{
"date": 11990,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06585636813556
},
{
"date": 11991,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06460154572226
},
{
"date": 11992,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06563229362472
},
{
"date": 11995,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06544624073115
},
{
"date": 11996,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06578077040528
},
{
"date": 11997,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06583864637255
},
{
"date": 11998,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06693776235786
},
{
"date": 11999,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06431647838465
},
{
"date": 12002,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06457833857459
},
{
"date": 12003,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06261917804995
},
{
"date": 12004,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.0623851107276
},
{
"date": 12005,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06069657044959
},
{
"date": 12006,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06121433374119
},
{
"date": 12009,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.06001005792547
},
{
"date": 12010,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.05972887080108
},
{
"date": 12011,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.05893425320362
},
{
"date": 12012,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.05973913291094
},
{
"date": 12013,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.05875834796484
},
{
"date": 12016,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.05684775497628
},
{
"date": 12017,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.05666555804681
},
{
"date": 12018,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.05520258841832
},
{
"date": 12020,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.05534039538056
},
{
"date": 12023,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.0540380147333
},
{
"date": 12024,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.05466367550809
},
{
"date": 12025,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.05502103867516
},
{
"date": 12026,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.0481395776484
},
{
"date": 12027,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04635911982769
},
{
"date": 12030,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04654945611745
},
{
"date": 12031,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.05105353682644
},
{
"date": 12032,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04998967568097
},
{
"date": 12033,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.05009306131813
},
{
"date": 12034,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.05018276233043
},
{
"date": 12037,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.05011334773389
},
{
"date": 12038,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04732513683618
},
{
"date": 12039,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04805723778597
},
{
"date": 12040,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04676438677693
},
{
"date": 12041,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04249016607825
},
{
"date": 12044,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04283619570858
},
{
"date": 12045,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.03953838413002
},
{
"date": 12047,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04053964660872
},
{
"date": 12048,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04247255256902
},
{
"date": 12051,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04314297238758
},
{
"date": 12052,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.0435865334665
},
{
"date": 12054,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04603059497562
},
{
"date": 12055,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.03949954142123
},
{
"date": 12058,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04233680664023
},
{
"date": 12059,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04081328738532
},
{
"date": 12060,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04105565413448
},
{
"date": 12061,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04099180927486
},
{
"date": 12062,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.04074102190863
},
{
"date": 12065,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.03946964281146
},
{
"date": 12066,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.03983669031436
},
{
"date": 12067,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.0393971601946
},
{
"date": 12068,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.03943484397507
},
{
"date": 12069,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.03889991574363
},
{
"date": 12073,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.03861689768757
},
{
"date": 12074,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.03900131998763
},
{
"date": 12075,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.0401805895158
},
{
"date": 12076,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.03998895756365
},
{
"date": 12079,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.03925679748514
},
{
"date": 12080,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.03921244392542
},
{
"date": 12081,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.03925494992787
},
{
"date": 12082,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.03918575759885
},
{
"date": 12083,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.03900669814012
},
{
"date": 12086,
"fund": "HSGFX",
"measure": "R_sq",
"value": 0.0390486163505
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