AddFactor: Add a Factor

In rexmacey/factorModel: Factor Model Creation and Evaluation

Description

Adds a column of returns to an existing table. Optionally subtracts the returns from each column of the existing table.

Usage

AddFactor(factorReturns, newFactorReturns, calcExcess = FALSE)

Arguments

factorReturns	Tibble of existing returns with date in first column.
newFactorReturns	Vector of new returns with date in first column.
calcExcess	If FALSE, no adjustments are made. If TRUE, the newFactorReturns are subtracted from each column of the factorReturns creating excess returns.

Details

If the date columns do not align, the returning table will have the maximum common date range. The first column of both tables of returns be date.

Value

Tibble with new column

Examples

AddFactor(factorReturns[, 1:6], factorReturns[,c(1,7)], TRUE)

rexmacey/factorModel documentation built on Oct. 2, 2019, 1:25 a.m.