Daily Archives: Jun 28, 2018 at 03:15 pm EDT

Excerpt, Part I: Quantitative Investment Portfolio Analytics In R

Here’s an excerpt from my new book, Quantitative Investment Portfolio Analytics In R: An Introduction To R For Modeling Portfolio Risk and Return, which was published last week. In this two-part excerpt of Chapter 5, we’ll look at a basic procedure for downloading factor premia from Professor Ken French’s web site to run a simple factor analysis using R code. I’ll publish the second half of Chapter 5’s excerpt soon. (Note: for a cleaner read, the footnotes that appear in the book have been removed for this web-based version of the chapter. For a complete list of chapters, see here. Keep in mind that all the code published in Quantitative Investment Portfolio Analytics In R can be accessed via a single file by way of a link that’s published in the book.)
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Macro Briefing: 28 June 2018

Kennedy’s retirement allows Trump to reshape Supreme Court: Reuters
Supreme Court ruling is major blow for public sector unions: CNN
Support for the recent US tax overhaul plunged in the past 2 months: Politico
President Xi warns US Defense Sec.: China won’t give up territory: Bloomberg
What’s on the agenda for an upcoming Trump-Putin summit? CNBC
Weak auto demand trimmed US durables goods orders for May: MarketWatch
US trade gap narrowed in May by more than expected: MarketWatch
S&P Global Ratings maintains AA+ credit rating on US debt: RTT
US pending home sales post surprising drop in May: RTT
US Dollar Index rose to highest level in nearly a year on Wednesday: