summary.ffm: Summarizing a fitted fundamental factor model

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

Summarizing a fitted fundamental factor model

Description

summary method for object of class ffm. Returned object is of class summary.ffm.

Usage

## S3 method for class 'ffm'
summary(object, ...)

## S3 method for class 'summary.ffm'
print(x, digits = 3, labels = TRUE, ...)

Arguments

object	an object of class ffm returned by fitFfm.
...	futher arguments passed to or from other methods.
x	an object of class summary.ffm.
digits	number of significants digits to use when printing. Default is 3.
labels	option to print labels and legend in the summary. Default is TRUE. When FALSE, only the coefficient matrx with standard errors is printed.

Details

The default summary method for a fitted lm object computes the standard errors and t-statistics under the assumption of homoskedasticty.

Note: This gives a summary of the fited factor returns at each time period. If T is large, you might prefer the more succint summary produced by print.ffm.

Value

Returns an object of class summary.ffm. The print method for class summary.ffm outputs the call, coefficients (with standard errors and t-statistics), r-squared and residual volatilty (under the homoskedasticity assumption) for all assets.

Object of class summary.ffm is a list of length N + 2 containing:

call	the function call to fitFfm
sum.list	list of summaries of the T fit objects (of class lm or lmRob) for each time period in the factor model.

Author(s)

Sangeetha Srinivasan & Yi-An Chen.

See Also

fitFfm, summary.lm

Examples

data("factorDataSetDjia5Yrs")

# fit a fundamental factor model
fit <- fitFfm(data = factorDataSetDjia5Yrs,
              asset.var = "TICKER",
              ret.var = "RETURN",
              date.var = "DATE",
              exposure.vars = c("P2B", "MKTCAP"))

names(fit)

# summary of factor returns estimated in each time period
summary(fit)

# summary of lm fit for a single period
summary(fit$factor.fit[[1]])

braverock/factorAnalytics documentation built on Dec. 16, 2024, 1:05 p.m.