factor analysis

CommonFactors | Factor set of several commonly used factors |

CornishFisher | Functions for Cornish-Fisher density, CDF, random number... |

factorModelCovariance | Compute Factor Model Covariance Matrix. |

factorModelEsDecomposition | Compute Factor Model ES Decomposition |

factorModelMonteCarlo | Simulate returns using factor model Monte Carlo method. |

factorModelPerformanceAttribution | Compute performance attribution |

factorModelSdDecomposition | Compute factor model standard deviation decomposition |

factorModelVaRDecomposition | Compute factor model VaR decomposition |

fitFundamentalFactorModel | fit fundamental factor model by classic OLS or Robust... |

fitStatisticalFactorModel | Fit statistical factor model using principle components... |

fitTimeseriesFactorModel | Fit time series factor model by time series regression... |

managers.df | Hypothetical Alternative Asset Manager and Benchmark Data |

plot.FM.attribution | plot FM.attribution class |

plot.FundamentalFactorModel | plot FundamentalFactorModel object. |

plot.StatFactorModel | plot StatFactorModel object. |

plot.TimeSeriesFactorModel | plot TimeSeriesFactorModel object. |

predict.FundamentalFactorModel | predict method for FundamentalFactorModel object |

predict.StatFactorModel | predict method for StatFactorModel object. |

predict.TimeSeriesFactorModel | predict method for TimeSeriesModel object. |

print.FM.attribution | Print FM.attribution object. |

print.FundamentalFactorModel | print FundamentalFactorModel object |

print.StatFactorModel | print StatFactorModel object |

print.TimeSeriesFactorModel | print TimeSeriesfactorModel object |

stat.fm.data | Monthly Stock Return Data || Portfolio of Weekly Stock... |

Stock.df | constructed NYSE 447 assets from 1996-01-01 through... |

summary.FM.attribution | summary FM.attribution object. |

summary.FundamentalFactorModel | summary FundamentalFactorModel object |

summary.StatFactorModel | summary method for StatFactorModel object. |

summary.TimeSeriesFactorModel | summary method for TimeSeriesModel object. |

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