PA_RA_Analysis: PA_RA_Analysis

In raphael210/RFactorModel: A quantative tool for investment by factor Model

Description

performance attribution and risk attribution analysis.

getPAData

chart.PA.exposure

chart.PA.attr

chart.RA.attr

Usage

getPAData(port, FactorLists, bmk = NULL, univ = "EI000985",
  sectorAttr = defaultSectorAttr())

chart.PA.exposure(PA_tables, plotInd = FALSE)

chart.PA.attr(PA_tables, plotInd = FALSE, attributeAnn = TRUE)

chart.RA.attr(PA_tables)

Examples

FactorLists <- buildFactorLists(
  buildFactorList(factorFun="gf.SIZE"),
  buildFactorList(factorFun="gf.GROWTH"),
  buildFactorList(factorFun="gf.TRADING"),
  buildFactorList(factorFun="gf.FORECAST"),
  buildFactorList(factorFun="gf.EARNINGYIELD"),
  buildFactorList(factorFun="gf.VALUE"),
  buildFactorList(factorFun="gf.QUALITY"))
PA_tables <- getPAData(port,FactorLists)
PA_tables <- getPAData(port,FactorLists,bmk='EI000905')
chart.PA.exposure(PA_tables)
chart.PA.exposure(PA_tables,plotInd=TRUE)
chart.PA.attr(PA_tables)
chart.PA.attr(PA_tables,plotInd=TRUE)
chart.RA.attr(PA_tables)

raphael210/RFactorModel documentation built on May 26, 2019, 11:06 p.m.