Factor Analytics

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Documentation for package ‘factorAnalytics’ version 2.0.30

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coef.ffm Fit a fundamental factor model using cross-sectional regression
coef.sfm Fit a statistical factor model using principal component analysis
coef.tsfm Fit a time series factor model using time series regression
CommonFactors Factor set of several commonly used factors
Cornish-Fisher Cornish-Fisher expansion
dCornishFisher Cornish-Fisher expansion
factors.M Factor set of several commonly used factors
factors.Q Factor set of several commonly used factors
fitFfm Fit a fundamental factor model using cross-sectional regression
fitSfm Fit a statistical factor model using principal component analysis
fitted.ffm Fit a fundamental factor model using cross-sectional regression
fitted.sfm Fit a statistical factor model using principal component analysis
fitted.tsfm Fit a time series factor model using time series regression
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 regression
fmCov Covariance Matrix for assets' returns from fitted factor model.
fmCov.ffm Covariance Matrix for assets' returns from fitted factor model.
fmCov.sfm Covariance Matrix for assets' returns from fitted factor model.
fmCov.tsfm Covariance Matrix for assets' returns from fitted factor model.
fmEsDecomp Decompose ES into individual factor contributions
fmEsDecomp.sfm Decompose ES into individual factor contributions
fmEsDecomp.tsfm Decompose ES into individual factor contributions
fmmc Compute fmmc objects that can be used for calcuation of estimates and their standard errors
fmmc.estimate.se Main function to calculate the standard errror of the estimate
fmmcSemiParam Semi-parametric factor model Monte Carlo
fmSdDecomp Decompose standard deviation into individual factor contributions
fmSdDecomp.ffm Decompose standard deviation into individual factor contributions
fmSdDecomp.sfm Decompose standard deviation into individual factor contributions
fmSdDecomp.tsfm Decompose standard deviation into individual factor contributions
fmVaRDecomp Decompose VaR into individual factor contributions
fmVaRDecomp.ffm Decompose VaR into individual factor contributions
fmVaRDecomp.sfm Decompose VaR into individual factor contributions
fmVaRDecomp.tsfm Decompose VaR into individual factor contributions
managers Hypothetical Alternative Asset Manager and Benchmark Data
paFm Compute cumulative mean attribution for factor models
pCornishFisher Cornish-Fisher expansion
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 series factor model
predict.sfm Predicts asset returns based on a fitted statistical factor model
predict.tsfm Predicts asset returns based on a fitted time series factor model
predict.tsfmUpDn Predicts asset returns based on a fitted up and down market time series factor model
print.ffm Prints a fitted fundamental factor model
print.pafm Print object of class '"pafm"'.
print.sfm Prints a fitted statistical factor model
print.summary.ffm Summarizing a fitted fundamental factor model
print.summary.sfm Summarizing a fitted time series factor model
print.summary.tsfm Summarizing a fitted time series factor model
print.summary.tsfmUpDn Summarizing a fitted up and down market time series factor model
print.tsfm Prints a fitted time series factor model
print.tsfmUpDn Prints out a fitted up and down market time series factor model object
qCornishFisher Cornish-Fisher expansion
r.M Stock Return Data
r.W Stock Return Data
rCornishFisher Cornish-Fisher expansion
residuals.ffm Fit a fundamental factor model using cross-sectional regression
residuals.sfm Fit a statistical factor model using principal component analysis
residuals.tsfm Fit a time series factor model using time series regression
stock Fundamental and return data for 447 NYSE stocks
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 model
tr.yields Treasury yields at different maturities
TreasuryYields Treasury yields at different maturities