factorAnalytics: Factor Analytics

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.

AuthorEric Zivot, Sangeetha Srinivasan and Yi-An Chen
Date of publication2016-08-05 15:21:42
MaintainerSangeetha Srinivasan <sangee@uw.edu>
LicenseGPL-2
Version2.0.36
http://r-forge.r-project.org/projects/returnanalytics/

View on R-Forge

Man pages

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

Files in this package

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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