Wednesday, April 23, 2014

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 Junk

Asness, Clifford S. and Frazzini, Andrea and Pedersen, Lasse Heje

October 9, 2013

Available at SSRN:

I used rCharts and dimplejs to draw a cumulative line chart.

Then I thought this would be a great opportunity to use the correlation chart spawned by rCharts issue 381.


Of course the next step is to simply merge the BAB (Betting Against  Beta) factors from the previous post, but I’ll leave that to you.  Let me know what you discover.

1 comment:

  1. Horizontal scrolling makes this very difficult to read. Also, I can't understand the second chart. Is it some correlation type of chart?