Man pages for chindhanai/factorAnalytics
Factor Analytics
| chartCusum | cusumActMgr Plots |
| chartRobRisk | 'riskBudget' Plots |
| CommonFactors | Factor set of several commonly used factors |
| cusumActMgr | Using Statistical Process Control to Monitor Active... |
| cusumData | Parvest and Russell2500 |
| factorDataSetDjia | DJIA stocks Compustat factors 14yrs |
| factorDataSetDjia5yrs | DJIA stocks Compustat factors 5yrs |
| fitFfm | Fit a fundamental factor model using cross-sectional... |
| managers | Hypothetical Alternative Asset Manager and Benchmark Data |
| managers.ffm | managers data for ffm |
| mktSP | S&P 500 Returns |
| mktUS | US Market Returns |
| 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 |
| TreasuryYields | Treasury yields at different maturities |
| 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 |
