assetDecomp | Decompose portfolio risk into individual asset contributions... |
chartCusum | cusumActMgr Plots |
chartRobRisk | 'riskBudget' Plots |
CommonFactors | Factor set of several commonly used factors |
CornishFisher | Cornish-Fisher expansion |
cusumActMgr | Using Statistical Process Control to Monitor Active... |
cusumData | Parvest and Russell2500 |
exposuresTseries | Time series plots of Style Exposures |
factorDataSetDjia | DJIA stocks Compustat factors 14yrs |
factorDataSetDjia5yrs | DJIA stocks Compustat factors 5yrs |
fitFfm | Fit a fundamental factor model using cross-sectional... |
fitSfm | Fit a statistical factor model using principal component... |
fitTsfm | Fit a time series factor model using time series regression |
fitTsfm.control | List of control parameters for 'fitTsfm' |
fitTsfmLagBeta | Fit a lagged Betas factor model using time series regression |
fitTsfmMT | Fit a market timing time series factor model |
fitTsfmUpDn | Fit a up and down market factor model using time series... |
fmEsDecomp | Decompose ES into individual factor contributions |
fmmc | Compute fmmc objects that can be used for calcuation of... |
fmmc.estimate.se | Main function to calculate the standard errror of the... |
fmmcSemiParam | Semi-parametric factor model Monte Carlo |
fmRsq | Factor Model R-Squared and Adj R-Squared Values |
fmSdDecomp | Decompose standard deviation into individual factor... |
fmTstats | t-stats and Plots for a fitted Fundamental Factor Model |
fmVaRDecomp | Decompose VaR into individual factor contributions |
managers | Hypothetical Alternative Asset Manager and Benchmark Data |
managers.ffm | managers data for ffm |
mktSP | S&P 500 Returns |
mktUS | US Market Returns |
paFm | Compute cumulative mean attribution for factor models |
plot.pafm | plot '"pafm"' object |
plot.sfm | Plots from a fitted statistical factor model |
plot.tsfm | Plots from a fitted time series factor model |
plot.tsfmUpDn | Plot actual against fitted values of up and down market time... |
portEsDecomp | Decompose portfolio ES into individual factor contributions |
portSdDecomp | Decompose portfolio standard deviation into individual factor... |
portVaRDecomp | Decompose portfolio VaR into individual factor contributions |
portVolDecomp | Decompose portfolio variance risk into factor/residual risk |
predict.ffm | Predicts asset returns based on a fitted fundamental factor... |
predict.sfm | Predicts asset returns based on a fitted statistical factor... |
predict.tsfm | Predicts asset returns based on a fitted time series factor... |
predict.tsfmUpDn | Predicts asset returns based on a fitted up and down market... |
print.ffm | Prints a fitted fundamental factor model |
print.pafm | Print object of class '"pafm"'. |
print.sfm | Prints a fitted statistical factor model |
print.tsfm | Prints a fitted time series factor model |
print.tsfmUpDn | Prints out a fitted up and down market time series factor... |
repExposures | Portfolio Exposures Report |
repReturn | Portfolio return decomposition report |
repRisk | Decompose portfolio risk into individual factor contributions... |
riskDecomp | Decompose Risk into individual factor contributions |
riskFreeRate | Risk-free rates |
robRiskBudget | Simple and Robust Risk Budgeting with Expected Shortfall |
RussellData | Russell data |
simulateARL | Simulation for thresholds of the Lindley's recursion |
Stock.df | Fundamental and return data for 447 NYSE stocks |
StockReturns | Stock Return Data |
stocks145scores6 | CRSP stocks Capital IQ scores |
summary.cusumActMgr | Summarizing a cusumActMgr object |
summary.ffm | Summarizing a fitted fundamental factor model |
summary.pafm | summary '"pafm"' object. |
summary.sfm | Summarizing a fitted time series factor model |
summary.tsfm | Summarizing a fitted time series factor model |
summary.tsfmUpDn | Summarizing a fitted up and down market time series factor... |
TreasuryYields | Treasury yields at different maturities |
tsPlotMP | Time Series Plots |
VIF | Factor Model Variance Inflaction Factor Values |
wtsDjiaGmv | DJIA GMV portfolio weights |
wtsDjiaGmvLo | DJIA GMV long-only portfolio weights |
wtsStocks145Gmv | CRSP 145 stocks GMV portfolio weights |
wtsStocks145GmvLo | CRSP 145 stocks GMV long-only weights |
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