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 historical performance of equities in the US and around the world.
Fortunately for us, the authors have also made available their factors. Unfortunately, BAB and QMJ are not updated like the Fama/French SMB and HML. (actually discovered this is no longer true Frazzini data library) Still though, combining these factors with the R packages factorAnalytics and rCharts allows us to do some amazing things. Here is a quick example. Look for more soon.
Really informative article. Read this recently: Coca-Cola Declared
ReplyDeletethe Corporate Website Dead. So Why Haven’t Companies Listened? Check it here:
http://on.fb.me/1i4tQO6
Thanks for sharing. I had to do this:
ReplyDeleteinstall.packages("robust")
install.packages("lars")
install.packages("leaps")
install.packages("factorAnalytics", repos = "http://r-forge.r-project.org", type = "source")
"Unfortunately, BAB and QMJ are not updated like the Fama/French SMB and HML."
ReplyDeleteDon't you if you have seen it, but Frazzini goes "French" now, too.