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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