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

Functions

coef.ffm Man page
coef.sfm Man page
coef.tsfm Man page
CommonFactors Man page
Cornish-Fisher Man page
dCornishFisher Man page
factors.M Man page
factors.Q Man page
fitFfm Man page
fitSfm Man page
fitted.ffm Man page
fitted.sfm Man page
fitted.tsfm Man page
fitTsfm Man page
fitTsfm.control Man page
fitTsfmLagBeta Man page
fitTsfmMT Man page
fitTsfmUpDn Man page
fmCov Man page
fmCov.ffm Man page
fmCov.sfm Man page
fmCov.tsfm Man page
fmEsDecomp Man page
fmEsDecomp.sfm Man page
fmEsDecomp.tsfm Man page
fmmc Man page
fmmc.estimate.se Man page
fmmcSemiParam Man page
fmSdDecomp Man page
fmSdDecomp.ffm Man page
fmSdDecomp.sfm Man page
fmSdDecomp.tsfm Man page
fmVaRDecomp Man page
fmVaRDecomp.ffm Man page
fmVaRDecomp.sfm Man page
fmVaRDecomp.tsfm Man page
managers Man page
paFm Man page
pCornishFisher Man page
plot.pafm Man page
plot.sfm Man page
plot.tsfm Man page
plot.tsfmUpDn Man page
predict.ffm Man page
predict.sfm Man page
predict.tsfm Man page
predict.tsfmUpDn Man page
print.ffm Man page
print.pafm Man page
print.sfm Man page
print.summary.ffm Man page
print.summary.sfm Man page
print.summary.tsfm Man page
print.summary.tsfmUpDn Man page
print.tsfm Man page
print.tsfmUpDn Man page
qCornishFisher Man page
rCornishFisher Man page
residuals.ffm Man page
residuals.sfm Man page
residuals.tsfm Man page
r.M Man page
r.W Man page
stock Man page
Stock.df Man page
StockReturns Man page
summary.ffm Man page
summary.pafm Man page
summary.sfm Man page
summary.tsfm Man page
summary.tsfmUpDn Man page
TreasuryYields Man page
tr.yields Man page

Files

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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