Man pages for braverock/factorAnalytics
Factor Analytics

assetDecompDecompose portfolio risk into individual asset contributions...
chartCusumcusumActMgr Plots
chartRobRisk'riskBudget' Plots
CommonFactorsFactor set of several commonly used factors
CornishFisherCornish-Fisher expansion
cusumActMgrUsing Statistical Process Control to Monitor Active...
cusumDataParvest and Russell2500
exposuresTseriesTime series plots of Style Exposures
factorDataSetDjiaDJIA stocks Compustat factors 14yrs
factorDataSetDjia5yrsDJIA stocks Compustat factors 5yrs
fitFfmFit a fundamental factor model using cross-sectional...
fitSfmFit a statistical factor model using principal component...
fitTsfmFit a time series factor model using time series regression
fitTsfm.controlList of control parameters for 'fitTsfm'
fitTsfmLagBetaFit a lagged Betas factor model using time series regression
fitTsfmMTFit a market timing time series factor model
fitTsfmUpDnFit a up and down market factor model using time series...
fmCovCovariance Matrix for assets' returns from fitted factor...
fmEsDecompDecompose ES into individual factor contributions
fmmcCompute fmmc objects that can be used for calcuation of...
fmmc.estimate.seMain function to calculate the standard errror of the...
fmmcSemiParamSemi-parametric factor model Monte Carlo
fmRsqFactor Model R-Squared and Adj R-Squared Values
fmSdDecompDecompose standard deviation into individual factor...
fmTstatst-stats and Plots for a fitted Fundamental Factor Model
fmVaRDecompDecompose VaR into individual factor contributions
managersHypothetical Alternative Asset Manager and Benchmark Data
managers.ffmmanagers data for ffm
mktSPS&P 500 Returns
mktUSUS Market Returns
paFmCompute cumulative mean attribution for factor models
plot.pafmplot '"pafm"' object
plot.sfmPlots from a fitted statistical factor model
plot.tsfmPlots from a fitted time series factor model
plot.tsfmUpDnPlot actual against fitted values of up and down market time...
portEsDecompDecompose portfolio ES into individual factor contributions
portSdDecompDecompose portfolio standard deviation into individual factor...
portVaRDecompDecompose portfolio VaR into individual factor contributions
portVolDecompDecompose portfolio variance risk into factor/residual risk
predict.ffmPredicts asset returns based on a fitted fundamental factor...
predict.sfmPredicts asset returns based on a fitted statistical factor...
predict.tsfmPredicts asset returns based on a fitted time series factor...
predict.tsfmUpDnPredicts asset returns based on a fitted up and down market...
print.ffmPrints a fitted fundamental factor model
print.pafmPrint object of class '"pafm"'.
print.sfmPrints a fitted statistical factor model
print.tsfmPrints a fitted time series factor model
print.tsfmUpDnPrints out a fitted up and down market time series factor...
repExposuresPortfolio Exposures Report
repReturnPortfolio return decomposition report
repRiskDecompose portfolio risk into individual factor contributions...
riskDecompDecompose Risk into individual factor contributions
riskFreeRateRisk-free rates
robRiskBudgetSimple and Robust Risk Budgeting with Expected Shortfall
RussellDataRussell data
simulateARLSimulation for thresholds of the Lindley's recursion
Stock.dfFundamental and return data for 447 NYSE stocks
StockReturnsStock Return Data
stocks145scores6CRSP stocks Capital IQ scores
summary.cusumActMgrSummarizing a cusumActMgr object
summary.ffmSummarizing a fitted fundamental factor model
summary.pafmsummary '"pafm"' object.
summary.sfmSummarizing a fitted time series factor model
summary.tsfmSummarizing a fitted time series factor model
summary.tsfmUpDnSummarizing a fitted up and down market time series factor...
TreasuryYieldsTreasury yields at different maturities
tsPlotMPTime Series Plots
VIFFactor Model Variance Inflaction Factor Values
wtsDjiaGmvDJIA GMV portfolio weights
wtsDjiaGmvLoDJIA GMV long-only portfolio weights
wtsStocks145GmvCRSP 145 stocks GMV portfolio weights
wtsStocks145GmvLoCRSP 145 stocks GMV long-only weights
braverock/factorAnalytics documentation built on Sept. 9, 2018, 1:14 p.m.