Factor Analytics

CommonFactors | Factor set of several commonly used factors |

CornishFisher | Cornish-Fisher expansion |

fitFfm | Fit a fundamental factor model using cross-sectional... |

fitSfm | Fit a statistical factor model using principal component... |

fitTsfm | Fit a time series factor model using time series regression |

fitTsfm.control | List of control parameters for 'fitTsfm' |

fitTsfmLagBeta | Fit a lagged Betas factor model using time series regression |

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 |

fmSdDecomp | Decompose standard deviation into individual factor... |

fmVaRDecomp | Decompose VaR into individual factor contributions |

managers | Hypothetical Alternative Asset Manager and Benchmark Data |

paFm | Compute cumulative mean attribution for factor models |

plot.pafm | plot '"pafm"' object |

plot.sfm | Plots from a fitted statistical factor model |

plot.tsfm | Plots from a fitted time series factor model |

plot.tsfmUpDn | Plot actual against fitted values of up and down market time... |

predict.ffm | Predicts asset returns based on a fitted fundamental factor... |

predict.sfm | Predicts asset returns based on a fitted statistical 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.sfm | Prints a fitted statistical factor model |

print.tsfm | Prints a fitted time series factor model |

print.tsfmUpDn | Prints out a fitted up and down market time series factor... |

Stock.df | Fundamental and return data for 447 NYSE stocks |

StockReturns | Stock Return Data |

summary.ffm | Summarizing a fitted fundamental factor model |

summary.pafm | summary '"pafm"' object. |

summary.sfm | Summarizing a fitted time series factor model |

summary.tsfm | Summarizing a fitted time series factor model |

summary.tsfmUpDn | Summarizing a fitted up and down market time series factor... |

TreasuryYields | Treasury yields at different maturities |

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