code.R
#full factor set for 1956-2012 from Andrea Frazzini Data
#http://www.econ.yale.edu/~af227/data_library.htm
#direct link to Excel File
#http://www.econ.yale.edu/~af227/data/QMJ%20factors%20-%20Asness,%20Frazzini%20and%20Pedersen.xlsx
#ssrn citation to the paper
#Asness, Clifford S. and Frazzini, Andrea and Pedersen, Lasse Heje
#Quality Minus Junk (October 9, 2013)
#Available at SSRN: http://ssrn.com/abstract=2312432
require(gdata)
require(PerformanceAnalytics)
require(factorAnalytics)
require(quantmod)
require(reshape2)
require(rCharts)
#read spreadsheet
qmjFactors <- read.xls(
"http://www.econ.yale.edu/~af227/data/QMJ%20factors%20-%20Asness,%20Frazzini%20and%20Pedersen.xlsx"
,pattern = "Caldt"
,blank.lines.skip = T
,stringsAsFactors = F
)
#convert spreadsheet data to R xts
#remove % with gsub, make numeric, and divide by 100
qmjFactors.xts <- as.xts(
do.call(cbind,
lapply(
qmjFactors[,-(c(1,7))]
,function(x){
df<-data.frame(as.numeric(
gsub(
x=x
,pattern="%"
,replacement=""
)
)/100)
colnames(df) <- colnames(x)
return(df)
}
)
) #date is first column; will use in order.by
,order.by = as.Date(paste0(qmjFactors[,1],"-01"),format="%Y%m%d")
)
colnames(qmjFactors.xts) <- gsub(
x = colnames(qmjFactors.xts),
,pattern = "\\.1"
,replacement = "\\.Glbl"
)
cumul <- melt(
data.frame(
date = format(index( na.omit( qmjFactors.xts )))
, cumprod( 1 + na.omit( qmjFactors.xts ) )
)
, id.vars = 1
, value.name = "cumul"
, variable.name = "factor"
)
d1 <- dPlot(
cumul ~ date
, groups = "factor"
, data = cumul
, type = "line"
, height = 400
, width = 700
, bounds = list(x = 80, y = 70, width = 600 , height = 250)
)
d1$xAxis(
type = "addTimeAxis"
, inputFormat = "%Y-%m-%d"
, outputFormat = "%b %Y"
)
d1$setTemplate(
afterScript =
'
<script>
//get fewer ticks on x axis
//this is a dimple issue that might or might not get fixed
myChart.svg.select(".axis").selectAll(".tick")[0].forEach(function(d,i){
if (!(+d3.time.format("%y")(new Date(+d3.select(d).datum())) % 5 == 0)) {
d.remove()
} else {
var dtext = d3.select(d).selectAll("text");
dtext
.text(d3.time.format("%Y")(new Date(dtext.text())))
.attr("transform","none")
.attr("y",12)
.style("text-anchor","middle");
}
});
//remove x axis label
myChart.axes[0].titleShape.remove()
myChart.svg.append("text")
.attr("id","charttitle")
.attr("x", 0)
.attr("y", 18)
.text("US and Global Factors")
.style("text-anchor","beginning")
.style("font-size","16px")
.style("font-family","sans-serif")
myChart.svg.append("text")
.attr("id","charttitle")
.attr("x", 0)
.attr("y", 34)
.text("source: Asness, Frazzini, Pedersen | Quality Minus Junk (2013)")
.style("text-anchor","beginning")
.style("font-size","14px")
.style("font-family","sans-serif")
</script>
'
)
d1
#### now use the correlation plot
#### from rCharts issue #381
corrmatrix<-cor(na.omit(qmjFactors.xts)) #store corr matrix
# The following steps are generic and can all be placed in a function with some tweaks to customize output
corrdata=as.data.frame(corrmatrix)
corrdata$Factor1=names(corrdata)
corrdatamelt=melt(corrdata,id="Factor1")
names(corrdatamelt)=c("Factor1","Factor2","CorrelationCoefficient")
corrmatplot = dPlot(
Factor2 ~ Factor1
,z = "CorrelationCoefficient"
,data = corrdatamelt
,type = 'bubble'
,height = 350
,width = 500
,bounds = list( x = 150, y = 50, width = 330, height = 200)
)
corrmatplot$yAxis ( type= "addCategoryAxis" )
corrmatplot$zAxis (
type= "addMeasureAxis"
, outputFormat = "0.5f"
, overrideMin = -2
, overrideMax = 2
)
corrmatplot$colorAxis(
type = "addColorAxis"
,colorSeries = 'CorrelationCoefficient'
,palette = c('red','white','blue')
,outputFormat = "0.2f"
)
#corrmatplot
#now do the bar
corrmatplot$set(type = "bar")
#corrmatplot
#with the bar let's play with tooltips
#first tooltip will just be the number in the center of the bar
corrmatplot$templates$script =
"http://timelyportfolio.github.io/rCharts_dimple/chart_tooltip_flexible.html"
#this template is designed to let us define onHover and onLeave
#with thought afterScript but does not work since separate <script> block
#so use chartDiv instead
corrmatplot$setTemplate(
chartDiv =
'
<div id = "{{chartId}}"></div>
<script>
function onHover(e){
//ugly but it works; if tooltip exists then select otherwise append
//whole d3 enter, update, exit makes things difficult here
var custTool = (
d3.select(e.selectedShape[0][0].parentNode).select("#chartTooltip")[0][0] ?
d3.select(e.selectedShape[0][0].parentNode).select("#chartTooltip") :
d3.select(e.selectedShape[0][0].parentNode).append("text").attr("id","chartTooltip")
)
custTool
//reads outputFormat and assumes it exists
.text(d3.format(opts.colorAxis.outputFormat)(e.selectedShape.data()[0].cValue))
//turn dispay on with css since none from leave
.style("display",null)
.style("pointer-events","none")
.style("font-size",10)
//use x and y from selected rectangle to position with transform for center
.attr("x",e.selectedShape.attr("x"))
.attr("y",e.selectedShape.attr("y"))
//move to center
.attr("transform",
"translate(" + e.selectedShape.attr("width") / 2 + "," + e.selectedShape.attr("height")/2 + ")"
)
.attr("dy",4)
.style("text-anchor","middle")
}
function onLeave(e){
myChart.svg.select("#chartTooltip")
.style("display","none");
}
</script>
'
,
afterScript = '
<script>
myChart.svg.append("text")
.attr("id","charttitle")
.attr("x", 0)
.attr("y", 18)
.text("US and Global Factors Correlations")
.style("text-anchor","beginning")
.style("font-size","16px")
.style("font-family","sans-serif")
myChart.svg.append("text")
.attr("id","charttitle")
.attr("x", 0)
.attr("y", 34)
.text("source: Asness, Frazzini, Pedersen | Quality Minus Junk (2013)")
.style("text-anchor","beginning")
.style("font-size","14px")
.style("font-family","sans-serif")
</script>'
)
corrmatplot