Factor Analytics

assetDecomp | Decompose portfolio risk into individual asset contributions... |

chartCusum | cusumActMgr Plots |

chartRobRisk | 'riskBudget' Plots |

CommonFactors | Factor set of several commonly used factors |

CornishFisher | Cornish-Fisher expansion |

cusumActMgr | Using Statistical Process Control to Monitor Active... |

cusumData | Parvest and Russell2500 |

dot-fmmc.boot | Statistic function for the boot call. It calculates the risk... |

dot-fmmc.default.args | Functions to compute estimates and thier standard errors... |

dot-fmmc.proc | This is the main implementation of the Factor Model Monte... |

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 |

factorDataSetDjia | DJIA stocks Compustat factors 14yrs |

factorDataSetDjia5Yrs | DJIA stocks Compustat factors 5yrs |

factorDataSPGMI | Fundamental factor scores from S&P Global Market Intelligence |

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 |

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 |

managers | Hypothetical Alternative Asset Manager and Benchmark Data |

managers.ffm | managers data for ffm |

mktSP | S&P 500 Returns |

mktUS | US Market Returns |

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... |

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.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... |

repExposures | Portfolio Exposures Report |

repReturn | Portfolio return decomposition report |

repRisk | Decompose portfolio risk into individual factor contributions... |

riskDecomp | Decompose Risk into individual factor contributions |

riskFreeRate | Risk-free rates |

robRiskBudget | Simple and Robust Risk Budgeting with Expected Shortfall |

RussellData | Russell data |

simulateARL | Simulation for thresholds of the Lindley's recursion |

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

StockReturns | Stock Return Data |

stocks145scores6 | CRSP stocks Capital IQ scores |

summary.cusumActMgr | Summarizing a cusumActMgr object |

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 |

tsPlotMP | Time Series Plots |

vif | Factor Model Variance Inflaction Factor Values |

wtsDjiaGmv | DJIA GMV portfolio weights |

wtsDjiaGmvLo | DJIA GMV long-only portfolio weights |

wtsStocks145Gmv | CRSP 145 stocks GMV portfolio weights |

wtsStocks145GmvLo | CRSP 145 stocks GMV long-only weights |

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