Man pages for braverock/factorAnalytics
Factor Analytics for Asset Return Data
| assetDecomp | Decompose portfolio risk into individual asset contributions... |
| calcFLAM | calcFLAM |
| convert | convert |
| convert.ffmSpec | Function to convert to current class # mido to change to... |
| CornishFisher | Cornish-Fisher expansion |
| dot-fmmc.boot | #' @title Statistic function for the boot call. |
| dot-fmmc.default.args | Functions to compute estimates and their standard errors... |
| dot-fmmc.proc | Implementation of the Factor Model Monte Carlo method. |
| dot-fmmc.se | Main function to calculate the risk/performance estimate and... |
| dot-fmmc.worker | Worker function that acts between the fmmc procedure and... |
| exposuresTseries | Time series plots of Style Exposures |
| extractRegressionStats | extractRegressionStats |
| factorDataSetDjia5Yrs | factorDataSetDjia5Yrs |
| fitFfm | Fit a fundamental factor model using cross-sectional... |
| fitFfmDT | fitFfmDT |
| fitTsfm | Fit a time series factor model using time series regression |
| fitTsfm.control | List of control parameters for 'fitTsfm' |
| fitTsfmLagLeadBeta | Fit a lagged and lead Betas factor model using time series... |
| fitTsfmMT | Fit a market timing time series factor model |
| fitTsfmUpDn | Fit a up and down market factor model using time series... |
| fmCov | Covariance Matrix for assets' returns from fitted factor... |
| fmEsDecomp | Decompose ES into individual factor contributions |
| fmmc | Compute fmmc objects that can be used for calcuation of... |
| fmmc.estimate.se | Main function to calculate the standard errror of the... |
| fmmcSemiParam | Semi-parametric factor model Monte Carlo |
| fmRsq | Factor Model R-Squared and Adj R-Squared Values |
| fmSdDecomp | Decompose standard deviation into individual factor... |
| fmTstats | t-stats and plots for a fitted Fundamental Factor Model... |
| fmVaRDecomp | Decompose VaR into individual factor contributions |
| lagExposures | lagExposures allows the user to lag exposures by one time... |
| paFm | Compute cumulative mean attribution for factor models |
| plot.ffm | Plots from a fitted fundamental factor model |
| plot.pafm | plot '"pafm"' object |
| plot.tsfm | Plots from a fitted time series factor model |
| plot.tsfmUpDn | Plot actual against fitted values of up and down market time... |
| portEsDecomp | Decompose portfolio ES into individual factor contributions |
| portSdDecomp | Decompose portfolio standard deviation into individual factor... |
| portVaRDecomp | Decompose portfolio VaR into individual factor contributions |
| portVolDecomp | Decompose portfolio variance risk into factor/residual risk |
| predict.ffm | Predicts asset returns based on a fitted fundamental factor... |
| predict.tsfm | Predicts asset returns based on a fitted time series factor... |
| predict.tsfmUpDn | Predicts asset returns based on a fitted up and down market... |
| print.ffm | Prints a fitted fundamental factor model |
| print.pafm | Print object of class '"pafm"'. |
| print.tsfm | Prints a fitted time series factor model |
| print.tsfmUpDn | Prints out a fitted up and down market time series factor... |
| repExposures | Portfolio Exposures Report |
| repReturn | Portfolio return decomposition report |
| repRisk | Decompose portfolio risk into individual factor contributions... |
| residualizeReturns | residualizeReturns |
| riskDecomp | Decompose Risk into individual factor contributions |
| roll.fitFfmDT | roll.fitFfmDT |
| selectCRSPandSPGMI | Select CRSP Stocks and SPGMI Factors |
| specFfm | Specifies the elements of a fundamental factor model |
| standardizeExposures | standardizeExposures |
| standardizeReturns | standardizeReturns |
| stocks145scores6 | stocks145scores6 |
| summary.ffm | Summarizing a fitted fundamental factor model |
| summary.pafm | summary '"pafm"' object. |
| summary.tsfm | Summarizing a fitted time series factor model |
| summary.tsfmUpDn | Summarizing a fitted up and down market time series factor... |
| tsPlotMP | Time Series Plots |
| vif | Factor Model Variance Inflaction Factor Values |
| wtsDjiaGmvLo | wtsDjiaGmvLo |
| wtsStocks145GmvLo | wtsStocks145GmvLo |
