Description Usage Arguments Author(s) Examples
Generic function of summary method for
factorModelPerformanceAttribution
.
1 2 3 |
fm.attr |
FM.attribution object created by
|
digits |
integer indicating the number of decimal places. Default is 3. |
... |
Other arguments for |
Yi-An Chen.
1 2 3 4 5 6 7 8 9 | # 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)
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