Factors | 3 Year Rolling Beta

1942195619701983199719322012-1.50-1.00-0.500.000.501.001.50-1.921.76SMBHMLBAB

  1. #use monthly factor data from Betting Against Beta paper
  2. #This file contains monthly return of the Betting against Beta factors used in Frazzini A and L.H. Pedersen (2013), “Betting Against Beta"
  3. #Copyright ©2013 Andrea Frazzini and Lasse Heje Pedersen
  5. #combine factor data from Fama/French
  6. #See Fama and French, 1993
  7. #"Common Risk Factors in the Returns on Stocks and Bonds"
  8. #Journal of Financial Economics
  12. require(gdata)
  13. require(PerformanceAnalytics)
  14. require(factorAnalytics)
  15. require(quantmod)
  16. require(rCharts)
  18. #read spreadsheet
  19. babFactors <- read.xls(
  20.   "//www.econ.yale.edu/~af227/data/BAB%20factors%20-%20Frazzini%20and%20Pedersen.xlsx"
  21.   ,pattern = "caldt"
  22.   ,blank.lines.skip = T
  23.   ,stringsAsFactors = F
  24. )
  26. #convert spreadsheet data to R xts
  27. #remove % with gsub, make numeric, and divide by 100
  28. babFactors.xts <- as.xts(
  29.   do.call(cbind,
  30.     lapply(
  31.       babFactors[,-1]
  32.       ,function(x){
  33.         df<-data.frame(as.numeric(
  34.           gsub(
  35.             x=x
  36.             ,pattern="%"
  37.             ,replacement=""
  38.           )
  39.         )/100)
  40.         colnames(df) <- colnames(x)
  41.         return(df)
  42.       }
  43.     )
  44.   )  #date is first column; will use in order.by
  45.   ,order.by = as.Date(paste0(babFactors[,1],"-01"),format="%Y%m-%d")
  46. )
  49. #now read Fama/French Factor data
  50. my.url="//mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Research_Data_Factors.zip"
  51. my.tempfile<-paste(tempdir(),"\\F-F_Research_Data_Factors.zip",sep="")
  52. my.usefile<-paste(tempdir(),"\\F-F_Research_Data_Factors.txt",sep="")
  53. download.file(my.url, my.tempfile, method="auto", 
  54.               quiet = FALSE, mode = "wb",cacheOK = TRUE)
  55. unzip(my.tempfile,exdir=tempdir(),junkpath=TRUE)
  56. #read space delimited text file extracted from zip
  57. french_factors <- read.table(file=my.usefile,
  58.                               header = TRUE, sep = "",
  59.                               as.is = TRUE,
  60.                               skip = 3, nrows=1052)
  62. #get dates ready for xts index
  63. datestoformat <- rownames(french_factors)
  64. datestoformat <- paste(substr(datestoformat,1,4),
  65.                        substr(datestoformat,5,7),"01",sep="-")
  67. #get xts for analysis
  68. french_factors.xts <- as.xts(french_factors,
  69.                               order.by=as.Date(datestoformat))
  71. french_factors.xts <- french_factors.xts/100
  74. factorsUS <- na.omit(merge(french_factors.xts,babFactors.xts[,1]))
  75. colnames(factorsUS)[5] <- "BAB"
  77. #not necessary but grab DJIA from FRED for sanity check
  78. djia <- to.monthly(getSymbols("DJIA",src="FRED",auto.assign=F))[,4]
  79. colnames(djia) <- "DowJonesIndu"
  80. index(djia) <- as.Date(index(djia))
  83. returnsFactors <- na.omit(
  84.   merge(
  85.     ROC(djia,n=1,type="discrete")
  86.     ,factorsUS
  87.   )
  88. )
  92. betasRolling <- rollapply(
  93.   returnsFactors[,-1]
  94.   , width = 36  #3 year or 36 month rolling
  95.   , by.column=FALSE
  96.   , by=1
  97.   , FUN = function(x){
  98.     fit.time <- fitTimeSeriesFactorModel(
  99.       assets.names=colnames(x[,1]),
  100.       factors.names=colnames(x[,-c(1,4)]),
  101.       data=x,
  102.       fit.method="OLS"
  103.     )
  104.     return(fit.time$beta)
  105.   }
  106. )
  107. colnames(betasRolling) <- colnames(returnsFactors)[-c(1,2,5)]
  109. require(reshape2)
  110. betasRolling.melt <- melt(data.frame(index(betasRolling),betasRolling),id.vars=1)
  111. colnames(betasRolling.melt) <- c("date", "factor", "beta")
  113. nBeta <- nPlot(
  114.   beta ~ date,
  115.   group = "factor",
  116.   data = na.omit(betasRolling.melt),
  117.   type = "multiBarChart", #lineChart #stackedAreaChart, #bar, area don't work with negative
  118.   height = 400,
  119.   width = 700
  120. )
  121. #nBeta$chart(stacked = TRUE, useInteractiveGuideline=TRUE)
  122. nBeta$xAxis(tickFormat = 
  123.               "#!function(d) {return d3.time.format('%Y')(new Date(d * 24 * 60 * 60 * 1000));}!#"
  124. )
  125. nBeta$yAxis(tickFormat =
  126.               "#!function(d) {return d3.format('0.2f')(d);}!#"
  127. )
  128. #nBeta
  130. nBeta$params$type = "lineChart"
  131. nBeta
  134. #chart.Correlation(returnsFactors)