FactorAnalytics: Functions for performing factor analysis on financial time series
Version 0.3

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".

AuthorPeter Carl, Brian G. Peterson, Eric Zivot
Date of publicationNone
MaintainerBrian G. Peterson <brian@braverock.com>
LicenseGPL
Version0.3
URL http://braverock.com/R/
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("FactorAnalytics", repos="http://R-Forge.R-project.org")

Popular man pages

Style: calculate and display effective style weights
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All man pages Function index File listing

Man pages

Style: calculate and display effective style weights

Functions

bootstrapFactorESdecomposition Source code
bootstrapFactorVaRdecomposition Source code
chart.RollingStyle Man page Source code
chart.Style Man page
factorModelCovariance Source code
factorModelFactorRiskDecomposition Source code
factorModelGroupRiskDecomposition Source code
factorModelPortfolioRiskDecomposition Source code
factorModelRiskDecomposition Source code
factorModelSimulation Source code
scenarioPredictions Source code
scenarioPredictionsPortfolio Source code
style.QPfit Man page
style.fit Man page
table.RollingStyle Man page Source code

Files

data
data/factors.rda
R
R/factorModelPortfolioRiskDecomposition.r
R/bootstrapFactorVaRdecomposition.r
R/factorModelCovariance.r
R/scenarioPredictions.r
R/factorModelSimulation.r
R/factorModelRiskDecomposition.r
R/style.fit.R
R/bootstrapFactorESdecomposition.r
R/table.RollingStyle.R
R/factorModelFactorRiskDecomposition.r
R/style.QPfit.R
R/factorModelGroupRiskDecomposition.r
R/chart.RollingStyle.R
R/chart.Style.R
R/scenarioPredictionsPortfolio.r
NAMESPACE
DESCRIPTION
man
man/Style.Rd
sandbox
sandbox/FF.R
sandbox/factors.csv
sandbox/script.StyleTest.R
FactorAnalytics documentation built on May 21, 2017, 1:23 a.m.

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