FactorAnalytics: Functions for performing factor analysis on financial time series

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
http://braverock.com/R/

View on R-Forge

Functions

chart.RollingStyle Man page
chart.Style Man page
style.fit Man page
style.QPfit Man page
table.RollingStyle Man page

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.