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 |

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