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<div class='container'> |
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<h3>Factors | 3 Year Rolling Beta</h3> |
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<div class='row'> |
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<div class='span12'> |
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<div class="bs-docs-example"> |
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<div id='chart270050c22c48' class='rChart nvd3'> |
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</div> |
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<br/> |
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<pre><code class='r'>#use monthly factor data from Betting Against Beta paper |
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#This file contains monthly return of the Betting against Beta factors used in Frazzini A and L.H. Pedersen (2013), “Betting Against Beta" |
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#Copyright ©2013 Andrea Frazzini and Lasse Heje Pedersen |
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|
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#combine factor data from Fama/French |
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#See Fama and French, 1993 |
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#"Common Risk Factors in the Returns on Stocks and Bonds" |
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#Journal of Financial Economics |
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require(gdata) |
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require(PerformanceAnalytics) |
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require(factorAnalytics) |
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require(quantmod) |
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require(rCharts) |
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|
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#read spreadsheet |
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babFactors <- read.xls( |
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"http://www.econ.yale.edu/~af227/data/BAB%20factors%20-%20Frazzini%20and%20Pedersen.xlsx" |
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,pattern = "caldt" |
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,blank.lines.skip = T |
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,stringsAsFactors = F |
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) |
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|
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#convert spreadsheet data to R xts |
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#remove % with gsub, make numeric, and divide by 100 |
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babFactors.xts <- as.xts( |
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do.call(cbind, |
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lapply( |
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babFactors[,-1] |
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,function(x){ |
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df<-data.frame(as.numeric( |
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gsub( |
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x=x |
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,pattern="%" |
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,replacement="" |
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) |
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)/100) |
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colnames(df) <- colnames(x) |
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return(df) |
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} |
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) |
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) #date is first column; will use in order.by |
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,order.by = as.Date(paste0(babFactors[,1],"-01"),format="%Y%m-%d") |
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) |
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|
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#now read Fama/French Factor data |
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my.url="http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Research_Data_Factors.zip" |
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my.tempfile<-paste(tempdir(),"\\F-F_Research_Data_Factors.zip",sep="") |
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my.usefile<-paste(tempdir(),"\\F-F_Research_Data_Factors.txt",sep="") |
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download.file(my.url, my.tempfile, method="auto", |
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quiet = FALSE, mode = "wb",cacheOK = TRUE) |
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unzip(my.tempfile,exdir=tempdir(),junkpath=TRUE) |
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#read space delimited text file extracted from zip |
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french_factors <- read.table(file=my.usefile, |
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header = TRUE, sep = "", |
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as.is = TRUE, |
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skip = 3, nrows=1052) |
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|
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#get dates ready for xts index |
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datestoformat <- rownames(french_factors) |
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datestoformat <- paste(substr(datestoformat,1,4), |
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substr(datestoformat,5,7),"01",sep="-") |
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|
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#get xts for analysis |
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french_factors.xts <- as.xts(french_factors, |
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order.by=as.Date(datestoformat)) |
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french_factors.xts <- french_factors.xts/100 |
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factorsUS <- na.omit(merge(french_factors.xts,babFactors.xts[,1])) |
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colnames(factorsUS)[5] <- "BAB" |
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|
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#not necessary but grab DJIA from FRED for sanity check |
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djia <- to.monthly(getSymbols("DJIA",src="FRED",auto.assign=F))[,4] |
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colnames(djia) <- "DowJonesIndu" |
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index(djia) <- as.Date(index(djia)) |
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returnsFactors <- na.omit( |
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merge( |
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ROC(djia,n=1,type="discrete") |
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,factorsUS |
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) |
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) |
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betasRolling <- rollapply( |
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returnsFactors[,-1] |
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, width = 36 #3 year or 36 month rolling |
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, by.column=FALSE |
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, by=1 |
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, FUN = function(x){ |
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fit.time <- fitTimeSeriesFactorModel( |
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assets.names=colnames(x[,1]), |
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factors.names=colnames(x[,-c(1,4)]), |
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data=x, |
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fit.method="OLS" |
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) |
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return(fit.time$beta) |
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} |
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) |
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colnames(betasRolling) <- colnames(returnsFactors)[-c(1,2,5)] |
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require(reshape2) |
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betasRolling.melt <- melt(data.frame(index(betasRolling),betasRolling),id.vars=1) |
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colnames(betasRolling.melt) <- c("date", "factor", "beta") |
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nBeta <- nPlot( |
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beta ~ date, |
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group = "factor", |
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data = na.omit(betasRolling.melt), |
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type = "multiBarChart", #lineChart #stackedAreaChart, #bar, area don't work with negative |
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height = 400, |
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width = 700 |
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) |
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#nBeta$chart(stacked = TRUE, useInteractiveGuideline=TRUE) |
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nBeta$xAxis(tickFormat = |
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"#!function(d) {return d3.time.format('%Y')(new Date(d * 24 * 60 * 60 * 1000));}!#" |
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) |
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nBeta$yAxis(tickFormat = |
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"#!function(d) {return d3.format('0.2f')(d);}!#" |
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) |
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#nBeta |
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nBeta$params$type = "lineChart" |
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nBeta |
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#chart.Correlation(returnsFactors) |
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</code></pre> |
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</div> |
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</div> |
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</div> |
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</div> |
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<script type='text/javascript'> |
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$(document).ready(function(){ |
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drawchart270050c22c48() |
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}); |
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}, |
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{ |
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{ |
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{ |
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{ |
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"date": 15371, |
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"factor": "BAB", |
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"beta": -0.35363947903 |
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{ |
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"date": 15400, |
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] |
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|
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if(!(opts.type==="pieChart" || opts.type==="sparklinePlus" || opts.type==="bulletChart")) { |
|
var data = d3.nest() |
|
.key(function(d){ |
|
//return opts.group === undefined ? 'main' : d[opts.group] |
|
//instead of main would think a better default is opts.x |
|
return opts.group === undefined ? opts.y : d[opts.group]; |
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}) |
|
.entries(data); |
|
} |
|
|
|
if (opts.disabled != undefined){ |
|
data.map(function(d, i){ |
|
d.disabled = opts.disabled[i] |
|
}) |
|
} |
|
|
|
nv.addGraph(function() { |
|
var chart = nv.models[opts.type]() |
|
.width(opts.width) |
|
.height(opts.height) |
|
|
|
if (opts.type != "bulletChart"){ |
|
chart |
|
.x(function(d) { return d[opts.x] }) |
|
.y(function(d) { return d[opts.y] }) |
|
} |
|
|
|
|
|
|
|
|
|
chart.xAxis |
|
.tickFormat(function(d) {return d3.time.format('%Y')(new Date(d * 24 * 60 * 60 * 1000));}) |
|
|
|
|
|
|
|
chart.yAxis |
|
.tickFormat(function(d) {return d3.format('0.2f')(d);}) |
|
|
|
d3.select("#" + opts.id) |
|
.append('svg') |
|
.datum(data) |
|
.transition().duration(500) |
|
.call(chart); |
|
|
|
nv.utils.windowResize(chart.update); |
|
return chart; |
|
}); |
|
}; |
|
</script> |
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</body> |
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