FactorAnalytics: Functions for performing factor analysis on financial time series

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A package of functions that may be used to perform various factor analyses on financial time series. The package includes functions that calculate style weights using an asset class style model as described in detail in Sharpe (1992). The use of quadratic programming to determine a fund's exposures to the changes in returns of major asset classes is usually refered to as "style analysis".

Author
Peter Carl, Brian G. Peterson, Eric Zivot
Date of publication
None
Maintainer
Brian G. Peterson <brian@braverock.com>
License
GPL
Version
0.3
URLs

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Man pages

Style
calculate and display effective style weights

Files in this package

FactorAnalytics
FactorAnalytics/data
FactorAnalytics/data/factors.rda
FactorAnalytics/R
FactorAnalytics/R/factorModelPortfolioRiskDecomposition.r
FactorAnalytics/R/bootstrapFactorVaRdecomposition.r
FactorAnalytics/R/factorModelCovariance.r
FactorAnalytics/R/scenarioPredictions.r
FactorAnalytics/R/factorModelSimulation.r
FactorAnalytics/R/factorModelRiskDecomposition.r
FactorAnalytics/R/style.fit.R
FactorAnalytics/R/bootstrapFactorESdecomposition.r
FactorAnalytics/R/table.RollingStyle.R
FactorAnalytics/R/factorModelFactorRiskDecomposition.r
FactorAnalytics/R/style.QPfit.R
FactorAnalytics/R/factorModelGroupRiskDecomposition.r
FactorAnalytics/R/chart.RollingStyle.R
FactorAnalytics/R/chart.Style.R
FactorAnalytics/R/scenarioPredictionsPortfolio.r
FactorAnalytics/NAMESPACE
FactorAnalytics/DESCRIPTION
FactorAnalytics/man
FactorAnalytics/man/Style.Rd
FactorAnalytics/sandbox
FactorAnalytics/sandbox/FF.R
FactorAnalytics/sandbox/factors.csv
FactorAnalytics/sandbox/script.StyleTest.R