While on the topic of rebalancing (see Unsolved Mysteries of Rebalancing), I thought it would be good to highlight another good research paper with some quick rCharts analysis.

data source:

Arnott, Robert D., et al.

The Surprising Alpha from Malkielâ€™s Monkey and Upside-Down Strategies

The Journal of Portfolio Management 39.4 (2013): 91-105.

We will use the data from Exhibits 1 and 5 to produce interactive bar plots. In planned later work, we will extend these simple charts into a much more detailed, interactive look at these statistics.

## Grab the Data

```
require(reshape2)
require(ggplot2)
require(rCharts)
#read in the csv version of data
rebalStats <- read.csv(
"global rebalance allocation stats.csv",
stringsAsFactors = F
)
#make long form
rebalStats.melt <- melt(
rebalStats,
id.vars = 1:3,
variable.name = "Statistic",
value.name = "Value"
)
rebalStats.melt$Value = as.numeric(rebalStats.melt$Value)
```

## Bar Plot with nvd3

```
#draw a nvd3 bar plot
nBar <- nPlot(
Value ~ Strategy,
group = "Geography",
data = subset(rebalStats.melt, Statistic == "Annual.FF4Alpha"),
type = "multiBarHorizontalChart",
height = 400,
width = 600
)
nBar$yAxis(
tickFormat =
"#!function(d){return d3.format('.3%')(d)}!#"
)
nBar$chart(
margin = list(
top = 100,
right = 20,
bottom = 50,
left = 350
),
showControls = FALSE #stacked does not make sense for this
)
nBar
```

## Bar Plot with Dimple

```
#draw a dimple bar plot
dBar <- dPlot(
y = c("Geography","Strategy"),
x = "Value",
groups = c("StrategyType"),
data = subset(rebalStats.melt, Statistic == "Return"),
type = "bar"
)
dBar$xAxis(
type = "addMeasureAxis",
outputFormat = ".1%"
)
dBar$yAxis(
type = "addCategoryAxis",
grouporderRule = "StrategyType"
)
dBar
```

## Thanks

- Research Affiliates for the research
- Ramnath Vaidyanathan
- Mike Bostock for d3.js and all the examples
- nvd3 Team
- John Kiernander for dimplejs
- Yahoo for their framework Pure
- Google Webfonts for Roboto and Oxygen