Description Usage Arguments Value References
Provided with futures contract front or equity price data from Bloomberg retrieved with pullit, construct momentum factor. The momentum factor sorts on prior asset returns and is popular in the equity \insertCitecarhart1997persistence,fama2012sizefactorem as well as commodity futures \insertCitemiffre2007momentumfactorem asset pricing literature.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 | momentum_factor(
data,
update_frequency = "week",
return_frequency = "day",
ranking_period = 4L,
long_threshold = 0.5,
short_threshold = 0.5,
weighted = F,
risk_adjusted = F
)
## S4 method for signature 'FuturesTS'
momentum_factor(
data,
update_frequency = "week",
return_frequency = "day",
ranking_period = 4L,
long_threshold = 0.5,
short_threshold = 0.5,
weighted = F,
risk_adjusted = F
)
## S4 method for signature 'EquityMarket'
momentum_factor(
data,
update_frequency = "week",
return_frequency = "day",
ranking_period = 4L,
long_threshold = 0.5,
short_threshold = 0.5,
weighted = F,
risk_adjusted = F
)
|
data |
an S4 object of class |
update_frequency |
a scalar |
return_frequency |
a scalar |
ranking_period |
a scalar |
long_threshold |
a scalar |
short_threshold |
a scalar |
weighted |
a scalar |
risk_adjusted |
a scalar |
An S4 object of class MomentumFactor
.
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