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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