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 |

http://braverock.com/R/ |

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

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