Description Usage Arguments Details Value Author(s) References See Also Examples
Decompose total returns into returns attributed to factors and
specific returns. An object of class "pafm"
is generated, with
methods for generic functions plot
, summary
and print
.
1 |
fit |
an object of class |
... |
other arguments/controls passed to the fit methods. |
Total returns can be decomposed into returns attributed to factors
and specific returns.
R_t = ∑ b_k * f_kt + u_t, t=1...T
b_k
is exposure to factor k and f_kt
is factor k's return at
time t. The return attributed to factor k is b_k * f_kt
and specific
return is u_t
.
The returned object is of class "pafm"
containing
cum.ret.attr.f |
N X K matrix of cumulative return attributed to factors. |
cum.spec.ret |
length-N vector of cumulative specific returns. |
attr.list |
list of time series of attributed returns for every portfolio. |
Yi-An Chen and Sangeetha Srinivasan
Grinold, R. and Kahn, R. (1999) Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk. McGraw-Hill.
fitTsfm
, fitSfm
, fitFfm
for the factor model fitting functions.
The pafm
methods for generic functions:
plot.pafm
, print.pafm
and
summary.pafm
.
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