Risk and Return by Size/Momentum and Industry

In lots of previous posts, I have demonstrated how to use the wonderful and free Kenneth French data in R, but I have not shown a basic risk/return plot by size/momentum and industry.  Hopefully, it will just be another example that somebody somewhere will find useful.

From TimelyPortfolio

From TimelyPortfolio

R code in GIST:

	#use Ken French momentum style indexes for style analysis
	#http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/6_Portfolios_ME_Prior_12_2.zip
	require(PerformanceAnalytics)
	require(quantmod)
	my.url="http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/6_Portfolios_ME_Prior_12_2.zip"
	my.tempfile<-paste(tempdir(),"\\frenchmomentum.zip",sep="")
	my.usefile<-paste(tempdir(),"\\6_Portfolios_ME_Prior_12_2.txt",sep="")
	download.file(my.url, my.tempfile, method="auto",
	quiet = FALSE, mode = "wb",cacheOK = TRUE)
	unzip(my.tempfile,exdir=tempdir(),junkpath=TRUE)
	#read space delimited text file extracted from zip
	french_momentum <- read.table(file=my.usefile,
	header = TRUE, sep = "",
	as.is = TRUE,
	skip = 12, nrows=1017)
	colnames(french_momentum) <- c(paste("Small",
	colnames(french_momentum)[1:3],sep="."),
	paste("Large",colnames(french_momentum)[1:3],sep="."))
	#get dates ready for xts index
	datestoformat <- rownames(french_momentum)
	datestoformat <- paste(substr(datestoformat,1,4),
	substr(datestoformat,5,7),"01",sep="-")
	#get xts for analysis
	french_momentum_xts <- as.xts(french_momentum[,1:6],
	order.by=as.Date(datestoformat))
	french_momentum_xts <- french_momentum_xts/100
	chart.RiskReturnScatter(french_momentum_xts, xlim=c(0,0.40),
	main=paste("French Momentum Risk and Return
	Since ",format(index(french_momentum_xts)[1],"%b %Y"),sep=""),
	colorset=c("darkseagreen1","darkseagreen3","darkseagreen4",
	"slateblue1","slateblue3","slateblue4"))
	#######do the same for industry
	#my.url will be the location of the zip file with the data
	my.url="http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/17_Industry_Portfolios.zip"
	#this will be the temp file set up for the zip file
	my.tempfile<-paste(tempdir(),"\\frenchindustry.zip",sep="")
	#my.usefile is the name of the txt file with the data
	my.usefile<-paste(tempdir(),"\\17_Industry_Portfolios.txt",sep="")
	download.file(my.url, my.tempfile, method="auto",
	quiet = FALSE, mode = "wb",cacheOK = TRUE)
	unzip(my.tempfile,exdir=tempdir(),junkpath=TRUE)
	#read space delimited text file extracted from zip
	french_industry <- read.table(file=my.usefile,
	header = TRUE, sep = "",
	as.is = TRUE,
	skip = 11, nrows=1021)
	#get dates ready for xts index
	datestoformat <- rownames(french_industry)
	datestoformat <- paste(substr(datestoformat,1,4),
	substr(datestoformat,5,7),"01",sep="-")
	#get xts for analysis
	french_industry_xts <- as.xts(french_industry[,1:17],
	order.by=as.Date(datestoformat))
	french_industry_xts <- french_industry_xts/100
	chart.RiskReturnScatter(french_industry_xts, xlim=c(0,0.40),
	main=paste("French Industry Risk and Return
	Since ",format(index(french_momentum_xts)[1],"%b %Y"),sep=""))

view raw french risk return.r hosted with ❤ by GitHub