yujia liu and guy yollin uw computational finance and risk management tableau and r databrowser for...

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 you!yujialiu9@gmail.com