Man pages for braverock/factorAnalytics
Factor Analytics

CommonFactorsFactor set of several commonly used factors
CornishFisherCornish-Fisher expansion
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
fmSdDecompDecompose standard deviation into individual factor...
fmVaRDecompDecompose VaR into individual factor contributions
managersHypothetical Alternative Asset Manager and Benchmark Data
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...
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...
Stock.dfFundamental and return data for 447 NYSE stocks
StockReturnsStock Return Data
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
braverock/factorAnalytics documentation built on May 11, 2017, 4:34 p.m.