Linear factor model fitting for asset returns (three major types- time series, fundamental and statistical factor models); related risk (volatility, VaR and ES) and performance attribution (factor-contributed vs idiosyncratic returns); tabular displays of risk and performance reports; factor model Monte Carlo, single and multiple imputation methods for simulating returns and backfilling unequal histories.

Author | Eric Zivot, Sangeetha Srinivasan and Yi-An Chen |

Date of publication | 2016-08-05 15:21:42 |

Maintainer | Sangeetha Srinivasan <sangee@uw.edu> |

License | GPL-2 |

Version | 2.0.36 |

http://r-forge.r-project.org/projects/returnanalytics/ |

**CommonFactors:** Factor set of several commonly used factors

**CornishFisher:** Cornish-Fisher expansion

**fitFfm:** Fit a fundamental factor model using cross-sectional...

**fitSfm:** Fit a statistical factor model using principal component...

**fitTsfm:** Fit a time series factor model using time series regression

**fitTsfm.control:** List of control parameters for 'fitTsfm'

**fitTsfmLagBeta:** Fit a lagged Betas factor model using time series regression

**fitTsfmMT:** Fit a market timing time series factor model

**fitTsfmUpDn:** Fit a up and down market factor model using time series...

**fmCov:** Covariance Matrix for assets' returns from fitted factor...

**fmEsDecomp:** Decompose ES into individual factor contributions

**fmmc:** Compute fmmc objects that can be used for calcuation of...

**fmmc.estimate.se:** Main function to calculate the standard errror of the...

**fmmcSemiParam:** Semi-parametric factor model Monte Carlo

**fmSdDecomp:** Decompose standard deviation into individual factor...

**fmVaRDecomp:** Decompose VaR into individual factor contributions

**managers:** Hypothetical Alternative Asset Manager and Benchmark Data

**paFm:** Compute cumulative mean attribution for factor models

**plot.pafm:** plot '"pafm"' object

**plot.sfm:** Plots from a fitted statistical factor model

**plot.tsfm:** Plots from a fitted time series factor model

**plot.tsfmUpDn:** Plot actual against fitted values of up and down market time...

**predict.ffm:** Predicts asset returns based on a fitted fundamental factor...

**predict.sfm:** Predicts asset returns based on a fitted statistical factor...

**predict.tsfm:** Predicts asset returns based on a fitted time series factor...

**predict.tsfmUpDn:** Predicts asset returns based on a fitted up and down market...

**print.ffm:** Prints a fitted fundamental factor model

**print.pafm:** Print object of class '"pafm"'.

**print.sfm:** Prints a fitted statistical factor model

**print.tsfm:** Prints a fitted time series factor model

**print.tsfmUpDn:** Prints out a fitted up and down market time series factor...

**Stock.df:** Fundamental and return data for 447 NYSE stocks

**StockReturns:** Stock Return Data

**summary.ffm:** Summarizing a fitted fundamental factor model

**summary.pafm:** summary '"pafm"' object.

**summary.sfm:** Summarizing a fitted time series factor model

**summary.tsfm:** Summarizing a fitted time series factor model

**summary.tsfmUpDn:** Summarizing a fitted up and down market time series factor...

**TreasuryYields:** Treasury yields at different maturities

factorAnalytics/DESCRIPTION

factorAnalytics/NAMESPACE

factorAnalytics/R

factorAnalytics/R/CornishFisher.R
factorAnalytics/R/fitFfm.R
factorAnalytics/R/fitSfm.R
factorAnalytics/R/fitTsfm.R
factorAnalytics/R/fitTsfm.control.R
factorAnalytics/R/fitTsfmLagBeta.r

factorAnalytics/R/fitTsfmMT.r

factorAnalytics/R/fitTsfmUpDn.r

factorAnalytics/R/fmCov.R
factorAnalytics/R/fmEsDecomp.R
factorAnalytics/R/fmSdDecomp.R
factorAnalytics/R/fmVaRDecomp.R
factorAnalytics/R/fmmc.R
factorAnalytics/R/fmmcSemiParam.R
factorAnalytics/R/paFm.r

factorAnalytics/R/plot.pafm.r

factorAnalytics/R/plot.sfm.r

factorAnalytics/R/plot.tsfm.r

factorAnalytics/R/plot.tsfmUpDn.r

factorAnalytics/R/predict.ffm.R
factorAnalytics/R/predict.sfm.r

factorAnalytics/R/predict.tsfm.r

factorAnalytics/R/predict.tsfmUpDn.r

factorAnalytics/R/print.ffm.R
factorAnalytics/R/print.pafm.r

factorAnalytics/R/print.sfm.r

factorAnalytics/R/print.tsfm.r

factorAnalytics/R/print.tsfmUpDn.r

factorAnalytics/R/summary.ffm.R
factorAnalytics/R/summary.pafm.r

factorAnalytics/R/summary.sfm.r

factorAnalytics/R/summary.tsfm.r

factorAnalytics/R/summary.tsfmUpDn.r

factorAnalytics/R/zzz.R
factorAnalytics/data

factorAnalytics/data/CommonFactors.RData

factorAnalytics/data/Stock.df.RData

factorAnalytics/data/StockReturns.RData

factorAnalytics/data/TreasuryYields.RData

factorAnalytics/data/datalist

factorAnalytics/data/managers.RData

factorAnalytics/inst

factorAnalytics/inst/extdata

factorAnalytics/inst/extdata/factorDataSet.csv

factorAnalytics/inst/extdata/timeSeriesReturns.csv

factorAnalytics/inst/tests

factorAnalytics/inst/tests/test-fitTsfm.r

factorAnalytics/man

factorAnalytics/man/CommonFactors.Rd
factorAnalytics/man/CornishFisher.Rd
factorAnalytics/man/Stock.df.Rd
factorAnalytics/man/StockReturns.Rd
factorAnalytics/man/TreasuryYields.Rd
factorAnalytics/man/fitFfm.Rd
factorAnalytics/man/fitSfm.Rd
factorAnalytics/man/fitTsfm.Rd
factorAnalytics/man/fitTsfm.control.Rd
factorAnalytics/man/fitTsfmLagBeta.Rd
factorAnalytics/man/fitTsfmMT.Rd
factorAnalytics/man/fitTsfmUpDn.Rd
factorAnalytics/man/fmCov.Rd
factorAnalytics/man/fmEsDecomp.Rd
factorAnalytics/man/fmSdDecomp.Rd
factorAnalytics/man/fmVaRDecomp.Rd
factorAnalytics/man/fmmc.Rd
factorAnalytics/man/fmmc.estimate.se.Rd
factorAnalytics/man/fmmcSemiParam.Rd
factorAnalytics/man/managers.Rd
factorAnalytics/man/paFm.Rd
factorAnalytics/man/plot.pafm.Rd
factorAnalytics/man/plot.sfm.Rd
factorAnalytics/man/plot.tsfm.Rd
factorAnalytics/man/plot.tsfmUpDn.Rd
factorAnalytics/man/predict.ffm.Rd
factorAnalytics/man/predict.sfm.Rd
factorAnalytics/man/predict.tsfm.Rd
factorAnalytics/man/predict.tsfmUpDn.Rd
factorAnalytics/man/print.ffm.Rd
factorAnalytics/man/print.pafm.Rd
factorAnalytics/man/print.sfm.Rd
factorAnalytics/man/print.tsfm.Rd
factorAnalytics/man/print.tsfmUpDn.Rd
factorAnalytics/man/summary.ffm.Rd
factorAnalytics/man/summary.pafm.Rd
factorAnalytics/man/summary.sfm.Rd
factorAnalytics/man/summary.tsfm.Rd
factorAnalytics/man/summary.tsfmUpDn.Rd
factorAnalytics/sandbox

factorAnalytics/sandbox/FF.R

factorAnalytics/sandbox/factors.csv

factorAnalytics/sandbox/getCommomFactor.r

factorAnalytics/sandbox/script.StyleTest.R

factorAnalytics/tests

factorAnalytics/tests/FactorAnalytics_Manual_03_17_2016.pdf

factorAnalytics/tests/run-testthat-factorAnalytics.R

factorAnalytics/vignettes

factorAnalytics/vignettes/FA.bib

factorAnalytics/vignettes/fitSfm_vignette.R

factorAnalytics/vignettes/fitSfm_vignette.Rnw

factorAnalytics/vignettes/fitSfm_vignette.pdf

factorAnalytics/vignettes/fitTsfm_vignette.R

factorAnalytics/vignettes/fitTsfm_vignette.Rnw

factorAnalytics/vignettes/fitTsfm_vignette.pdf

factorAnalytics/vignettes/fmmc_vignette.Rnw

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