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: http://ssrn.com/abstract=2312432
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.