Animated GIF Annual Correlation of 48 Industries for 50 Years
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Inspired by http://blogs.reuters.com/felix-salmon/2012/08/06/chart-of-the-day-hft-edition/, I thought I would build on 48 Industries (Dendrogram Ordered) Over 50 Years, “Trend is Not Your Friend” Applied to 48 Industries, and 48 Industries Since 1963 with an animated GIF of annual correlation for the Kenneth French 48 Industry Data set.
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From TimelyPortfolio |
R code in GIST (do raw for copy/paste):
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#get very helpful Ken French data | |
#for this project we will look at Industry Portfolios | |
#http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/48_Industry_Portfolios_daily.zip | |
require(latticeExtra) | |
require(animation) | |
require(PerformanceAnalytics) | |
require(quantmod) | |
#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/48_Industry_Portfolios_daily.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(),"\\48_Industry_Portfolios_daily.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 = 9, nrows=12211) | |
#get dates ready for xts index | |
datestoformat <- rownames(french_industry) | |
datestoformat <- paste(substr(datestoformat,1,4), | |
substr(datestoformat,5,6),substr(datestoformat,7,8),sep="-") | |
#get xts for analysis | |
french_industry_xts <- as.xts(french_industry[,1:NCOL(french_industry)], | |
order.by=as.Date(datestoformat)) | |
#divide by 100 to get percent | |
french_industry_xts <- french_industry_xts/100 | |
#delete missing data which is denoted by -0.9999 | |
french_industry_xts[which(french_industry_xts < -0.99,arr.ind=TRUE)[,1], | |
unique(which(french_industry_xts < -0.99,arr.ind=TRUE)[,2])] <- 0 | |
#get a vector of the end of years | |
evaldates <- endpoints(french_industry_xts,"years") | |
saveGIF( | |
for(i in 2:length(evaldates)) { | |
#do correlation table | |
ca <- cor(french_industry_xts[evaldates[i-1]:evaldates[i],]) | |
#replace na with 0 | |
ca[which(is.na(ca),arr.ind=TRUE)[,]] <- 0 | |
#get colors to use for heat map | |
brew <- brewer.pal(name="RdBu",n=5) | |
#get color ramp | |
cc.brew <- colorRampPalette(brew) | |
#apply color ramp | |
cc <- cc.brew(nrow(ca)) | |
#do heatmap and sort by degree of correlation to VFINX (Vanguard S&P 500) | |
#heatmap(ca,symm=TRUE,Rowv=NA,Colv=NA,col=cc,RowSideColors=cc,main="") | |
#title(main=paste("Correlation Table\n",index(french_industry_xts)[evaldates[i]],sep=""),font.main=1,outer=TRUE,line=-2,cex.main=1.3) | |
#do with dendrogram ordering | |
heatmap(ca,symm=TRUE,col=cc,RowSideColors=cc,main="") | |
title(main=paste("Correlation Table (Dendrogram Ordered)\n",index(french_industry_xts)[evaldates[i]],sep=""),font.main=1,outer=TRUE,line=-3,cex.main=1.3,adj=0) | |
} | |
) |
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