calcFLAM: calcFLAM

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

calcFLAM

Description

function to calculate fundamental law of active management

Usage

calcFLAM(
  specObj,
  modelStats,
  fitResults,
  analysis = c("ISM", "NEW"),
  targetedVol = 0.06,
  ...
)

Arguments

specObj	an object as the output from specFfm function
modelStats	output of the extractRegressionStats functions. Contains fit statistics of the factor model.
fitResults	output from fitFfmDT
analysis	type character, choice of c("none", "ISM","NEW"). Default = "none". Corresponds to methods used in the analysis of fundamental law of active management.
targetedVol	numeric; the targeted portfolio volatility in the analysis. Default is 0.06.
...	additional arguments

braverock/factorAnalytics documentation built on March 2, 2024, 11:17 p.m.