factorAnalytics: Factor Analytics

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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
URLs

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