Development of factorAnalytics package as a part of GSoC-2016

factorDataSetDjia | DJIA stocks Compustat factors 14yrs |

factorDataSetDjia5Yrs | DJIA stocks Compustat factors 5yrs |

ffmRsq | Factor Model R-squared and VIF Values |

ffmTstats | t-stats and Plots for a fitted Fundamental Factor Model |

fitFfm | Fit a fundamental factor model using cross-sectional... |

managers | time-series data |

managers.ffm | managers data for ffm |

portEsDecomp | Decompose portfolio ES into individual factor contributions |

portSdDecomp | Decompose portfolio standard deviation into individual factor... |

portVaRDecomp | Decompose portfolio VaR into individual factor contributions |

repExposures | Portfolio Exposures Report |

repReturn | Portfolio return decomposition report |

repRisk | Decompose portfolio risk into individual factor contributions... |

stocks145scores6 | CRSP stocks Capital IQ scores |

tsPlotMP | Time Series Plots |

wtsDjiaGmv | DJIA GMV portfolio weights |

wtsDjiaGmvLo | DJIA GMV long-only portfolio weights |

wtsStocks145Gmv | CRSP 145 stocks GMV portfolio weights |

wtsStocks145GmvLo | CRSP 145 stocks GMV long-only weights |

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