fa.style.fit: Calculate effective style weights This is a clone of the...

In rexmacey/fundAnalysis: Provides Analytics on Mututal Funds and ETFs

Description

Calculate effective style weights This is a clone of the style.fit function from the Factor Analytics package. The only difference is that it includes a trace parameter to pass to the step function to control its output.

Usage

fa.style.fit(R.fund, R.style, model = FALSE, method = c("constrained",
  "unconstrained", "normalized"), leverage = FALSE, selection = c("none",
  "AIC"), trace = 0, ...)

Arguments

R.fund	matrix, data frame, or zoo object with fund returns to be analyzed
R.style	matrix, data frame, or zoo object with style index returns. Data object must be of the same length and time-aligned with R.fund
model	logical. If 'model' = TRUE in style.QPfit, the full result set is shown from the output of solve.QP.
method	specify the method of calculation of style weights as "constrained", "unconstrained", or "normalized". For more information, see style.fit
leverage	logical, defaults to 'FALSE'. If 'TRUE', the calculation of weights assumes that leverage may be used. For more information, see style.fit
selection	either "none" (default) or "AIC". If "AIC", then the function uses a stepwise regression to identify find the model with minimum AIC value. See step for more detail.
trace	value passed to the step function to control feedback. Default is zero to suppress printing.
...

Value

list with weights and r-squared values.

Examples

fa.style.fit(R.fund, R.style)

rexmacey/fundAnalysis documentation built on Dec. 2, 2019, 5:50 p.m.