Publications by klr
Wealth and Skill | A Talk to Students
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 Ramnath. Thanks to my good friend Dr. Underwood for the invitation. Click here or on...
784 sym
Exploring Factors with rCharts and factorAnalytics
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 set of Fama/French and Frazzini/Pedersen provides substantial insight into the histori...
806 sym
All the Factors | More Looks
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 minus down) and QMJ (quality minus junk) introduced in this paper. Quality Minus Jun...
812 sym
Slidify Old Book Images from Google Books
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 Financial Skill by Enoch Gowin (1922). I had forgotten some of the interesting visualizat...
811 sym
High Frequency | Winners and Losers by Chord
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.,Risk and Return in High Frequency TradingMay 5, 2014Available at SSRN: http://ssrn....
810 sym
Active Share and Tracking Error | Not Mutually Exclusive Decisions
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 paper seems to suggest that mutual fund managers can independently and intentionall...
808 sym
Dispelling Myths of Momentum | AQR Research Factory
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 compelling arguments against the myths and for the momentum factor. I replicated m...
812 sym
A Whole New R World with Chains and Pipes
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, magrittr, tidyr, and rCharts would help me learn and think through new workflows. Rel...
741 sym
Open Source Playing with ggvis using rCharts, angular, uikit, ace-editor
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. However, I view them as an indicator of a reach ecosystem (taken from Rob Story) in which ...
801 sym
Beer and Pie | rCharts pie charts with d3pie
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 and rCharts, I created a more complete writeup of the experiment with d3pie if you ...
922 sym