factor analysis


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Documentation for package ‘factorAnalytics’ version 1.0

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CommonFactors Factor set of several commonly used factors
CornishFisher Functions for Cornish-Fisher density, CDF, random number simulation and quantile.
dCornishFisher Functions for Cornish-Fisher density, CDF, random number simulation and quantile.
factorModelCovariance Compute Factor Model Covariance Matrix.
factorModelEsDecomposition Compute Factor Model ES Decomposition
factorModelMonteCarlo Simulate returns using factor model Monte Carlo method.
factorModelPerformanceAttribution Compute performance attribution
factorModelSdDecomposition Compute factor model standard deviation decomposition
factorModelVaRDecomposition Compute factor model VaR decomposition
factors Factor set of several commonly used factors
factors.Q Factor set of several commonly used factors
fitFundamentalFactorModel fit fundamental factor model by classic OLS or Robust regression technique
fitStatisticalFactorModel Fit statistical factor model using principle components analysis
fitTimeSeriesFactorModel Fit time series factor model by time series regression techniques.
managers.df Hypothetical Alternative Asset Manager and Benchmark Data
pCornishFisher Functions for Cornish-Fisher density, CDF, random number simulation and quantile.
plot.FM.attribution plot FM.attribution class
plot.FundamentalFactorModel plot FundamentalFactorModel object.
plot.StatFactorModel plot StatFactorModel object.
plot.TimeSeriesFactorModel plot TimeSeriesFactorModel object.
predict.FundamentalFactorModel predict method for FundamentalFactorModel object
predict.StatFactorModel predict method for StatFactorModel object.
predict.TimeSeriesFactorModel predict method for TimeSeriesModel object.
print.FM.attribution Print FM.attribution object.
print.FundamentalFactorModel print FundamentalFactorModel object
print.StatFactorModel print StatFactorModel object
print.TimeSeriesFactorModel print TimeSeriesfactorModel object
qCornishFisher Functions for Cornish-Fisher density, CDF, random number simulation and quantile.
rCornishFisher Functions for Cornish-Fisher density, CDF, random number simulation and quantile.
sfm.apca.dat Monthly Stock Return Data || Portfolio of Weekly Stock Returns
sfm.dat Monthly Stock Return Data || Portfolio of Weekly Stock Returns
stat.fm.data Monthly Stock Return Data || Portfolio of Weekly Stock Returns
stock constructed NYSE 447 assets from 1996-01-01 through 2003-12-31.
Stock.df constructed NYSE 447 assets from 1996-01-01 through 2003-12-31.
summary.FM.attribution summary FM.attribution object.
summary.FundamentalFactorModel summary FundamentalFactorModel object
summary.StatFactorModel summary method for StatFactorModel object.
summary.TimeSeriesFactorModel summary method for TimeSeriesModel object.