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Yujia Liu and Guy Yollin
UW Computational Finance and Risk Management
Tableau and R DataBrowserFor Carhart Four Factor Model
Objectives
• Introduction to Tableau and R integration•Carhart Four Factor model DataBrowser Demo
Introduction to Tableau and R Integration
•What is Tableau?
Business intelligence softwareFast and easyDynamic visualization
Introduction to Tableau and R Integration•What are the benefits of using Tableau and R integration?
Access R packages or functions for quantitative analysis
Take advantages of Tableau's data visualization capacities
Introduction to Tableau and R Integration
Input Data
Interactive Data Visualization
Rserve
Output Data
Pass R Script and Data into R
• How is Tableau integrating with R?
• Install Rserve Package
• Create Calculation Field in Tableau
• Use one of the four functions:SCRIPT_BOOL: Return a BooleanSCRIPT_INT: Return an IntegerSCRIPT_REAL: Return a RealSCRIPT_STR: Return a String
Carhart Four Factor model DataBrowser Demo• Carhart Four Fundamental Factor Model• Identify return and risk characteristics of securities
• Factors in the model• Market Factor• Size Factor• Book to Market Factor• Momentum factor
Data Sets
• Stock Data• Monthly Returns from Jan 2005 to Feb 2015• Top Holdings of iShares Morningstar Large Cap Growth, Large Cap Value,
Small Cap Growth, Small Cap Value ETFs
• Factor and index Data• Carhart four factors monthly returns from Kenneth French's Website• Russell 2000 Value, Russell 2000 Growth, Russell 1000 Value, Russell 1000
Growth, SP500 monthly returns
• Tableau Data Blending Functionality
Explore Data Pattern in Tableau
Interactive Data Visualization in Tableau
SCRIPT_REAL
RservefactorAnalytics
Package
Pass R Script and Data into R
Risk ContributionPerformance Attribution
Interactive Data Visualization in Tableau
RservefactorAnalytics
Package
SCRIPT_REAL
Pass R Script and Data into R
Risk ContributionPerformance Attribution
Interactive Data Visualization in Tableau
Interactive Data Visualization in Tableau
Interactive Data Visualization in Tableau
Interactive Data Visualization in Tableau
Interactive Data Visualization in Tableau
Welcome to Our UW CF&RM Booth!
Thank [email protected]