summary.FM.attribution: summary FM.attribution object.

Description Usage Arguments Author(s) Examples

Description

Generic function of summary method for factorModelPerformanceAttribution.

Usage

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  ## S3 method for class 'FM.attribution'
 summary(fm.attr,
    digits = max(3, .Options$digits - 3), ...)

Arguments

fm.attr

FM.attribution object created by factorModelPerformanceAttribution.

digits

integer indicating the number of decimal places. Default is 3.

...

Other arguments for print methods.

Author(s)

Yi-An Chen.

Examples

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# load data from the database
 data(managers.df)
 # fit the factor model with OLS
 fit.ts <- fitTimeSeriesFactorModel(assets.names=colnames(managers.df[,(1:6)]),
                               factors.names=c("EDHEC.LS.EQ","SP500.TR"),
                               data=managers.df,fit.method="OLS")

  fm.attr <- factorModelPerformanceAttribution(fit.ts)
  summary(fm.attr)

R-Finance/FactorAnalytics documentation built on May 8, 2019, 3:51 a.m.