#' @title Portfolio return reports for risk decomposition and performance analysis testing
#'
#' @description testing functions for portfolio return analysis reporting, repReturn, repExposures
#'
#' @param ffmObj fit object of class \code{tsfm}, \code{sfm} or \code{ffm}.
#' @author Lingjie Yi
library(factorAnalytics)
##sample data
load("stocks145scores6.rda")
stacked.df = data145
head(stacked.df)
load("wts145stocksGMVlong.rda")
head(wts.lo)
# GET FIVE YEAR SEGMENT
short = T
if(short)
{stacked.df$DATE = as.yearmon(stacked.df$DATE)
stacked.df = stacked.df[stacked.df$DATE >=as.yearmon("2008-01-01") &
stacked.df$DATE <= as.yearmon("2012-12-31"),]}
names(stacked.df)
# FIT FUNDFACMOD
industry.mod <- fitFfm(data = stacked.df, # Change fit object to mixed.mod
exposure.vars = c("SECTOR","ROE","BP","PM12M1M","SIZE","ANNVOL1M","EP"),
date.var = "DATE",
ret.var = "RETURN",
asset.var = "TICKER",
fit.method="WLS",
z.score = F)
repExposures(industry.mod, wts.lo, isPlot = TRUE)
#dev.off()
repReturn(industry.mod, wts.lo, isPlot = TRUE)
#dev.off()
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