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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