factorAnalytics: Factor Analytics for Asset Return Data

.fmmc.se

R Documentation

Main function to calculate the risk/performance estimate and calculate the standard error of the estimate using bootstrapping.

Description

Main function to calculate the risk/performance estimate and calculate the standard error of the estimate using bootstrapping.

Usage

.fmmc.se(fmmcObj, nboot = 50, estimate.func, cl = NULL)

Arguments

`fmmcObj`	object returned by fmmc proc. This is a comprehensive object with all data for factors and returns.
`nboot`	number of bootstap samples. Not sure how many repetations are reuired but remember bias-variance tradeoff. Increasing nboot will only reduce variance and not have a significant effect on bias(estimate)
`estimate.func`	this is a handle to the function used for calulating the perfomance/risk measure.
`cl`	A cluster for running across multiple cores

Details

bootstrapping in our case can be painfully slow, so we exploit the parallel capabilities of boot function. All cores on your machine are used. We use the boot call from the boot library for calculating the estimate and its standard error.