[Returnanalytics-commits] r3549 - in pkg/FactorAnalytics: . vignettes
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fri Nov 14 21:12:16 CET 2014
Author: pragnya
Date: 2014-11-14 21:12:16 +0100 (Fri, 14 Nov 2014)
New Revision: 3549
Added:
pkg/FactorAnalytics/vignettes/fitTsfm_vignette.R
Modified:
pkg/FactorAnalytics/NAMESPACE
Log:
Added R script for fitTsfm vignette
Modified: pkg/FactorAnalytics/NAMESPACE
===================================================================
--- pkg/FactorAnalytics/NAMESPACE 2014-11-14 19:47:13 UTC (rev 3548)
+++ pkg/FactorAnalytics/NAMESPACE 2014-11-14 20:12:16 UTC (rev 3549)
@@ -6,30 +6,16 @@
S3method(fmEsDecomp,tsfm)
S3method(fmSdDecomp,tsfm)
S3method(fmVaRDecomp,tsfm)
-S3method(plot,FundamentalFactorModel)
-S3method(plot,StatFactorModel)
S3method(plot,pafm)
S3method(plot,tsfm)
-S3method(predict,FundamentalFactorModel)
-S3method(predict,StatFactorModel)
S3method(predict,tsfm)
-S3method(print,FundamentalFactorModel)
-S3method(print,StatFactorModel)
S3method(print,pafm)
S3method(print,summary.tsfm)
S3method(print,tsfm)
S3method(residuals,tsfm)
-S3method(summary,FundamentalFactorModel)
-S3method(summary,StatFactorModel)
S3method(summary,pafm)
S3method(summary,tsfm)
export(dCornishFisher)
-export(factorModelEsDecomposition)
-export(factorModelMonteCarlo)
-export(factorModelSdDecomposition)
-export(factorModelVaRDecomposition)
-export(fitFundamentalFactorModel)
-export(fitStatisticalFactorModel)
export(fitTsfm)
export(fitTsfm.control)
export(fmCov)
Added: pkg/FactorAnalytics/vignettes/fitTsfm_vignette.R
===================================================================
--- pkg/FactorAnalytics/vignettes/fitTsfm_vignette.R (rev 0)
+++ pkg/FactorAnalytics/vignettes/fitTsfm_vignette.R 2014-11-14 20:12:16 UTC (rev 3549)
@@ -0,0 +1,224 @@
+
+## ----message=FALSE-------------------------------------------------------
+library(factorAnalytics)
+
+
+## ------------------------------------------------------------------------
+data(managers)
+colnames(managers)
+range(index(managers))
+
+
+## ------------------------------------------------------------------------
+asset.names <- colnames(managers[,1:6])
+factor.names <- colnames(managers[,7:9])
+mkt.name <- "SP500 TR"
+rf.name <- "US 3m TR"
+
+
+## ------------------------------------------------------------------------
+data(CommonFactors)
+names(factors.Q)
+range(index(factors.Q))
+
+
+## ----tidy=TRUE-----------------------------------------------------------
+args(fitTsfm)
+
+
+## ------------------------------------------------------------------------
+fit.Sharpe <- fitTsfm(asset.names=asset.names, factor.names="SP500 TR",
+ rf.name="US 3m TR", data=managers)
+names(fit.Sharpe)
+fit.Sharpe
+
+
+## ------------------------------------------------------------------------
+# adding up-market timing factor ("HM") to the model
+fit1 <- fitTsfm(asset.names=asset.names, factor.names=factor.names,
+ mkt.name="SP500 TR", mkt.timing="HM", data=managers)
+fit1$beta
+fit1$r2
+fit1$resid.sd
+
+
+## ------------------------------------------------------------------------
+fit2 <- fitTsfm(asset.names=asset.names, factor.names=factor.names,
+ mkt.name="SP500 TR", data=managers, fit.method="Robust")
+fit2$beta
+fit2$r2
+fit2$resid.sd
+
+
+## ----fig.cap="HAM3 Returns: fit1-OLS (top) vs fit2-Robust (bottom)", fig.show='hold'----
+par(mfrow=c(2,1))
+plot(fit1, plot.single=TRUE, which.plot.single=1, asset.name="HAM3", loop=FALSE)
+plot(fit2, plot.single=TRUE, which.plot.single=1, asset.name="HAM3", loop=FALSE)
+
+
+## ----fig.cap="Residual vol: fit1-OLS (left) vs fit2-Robust (right)", fig.width=3, fig.height=2.5, out.width='.49\\linewidth', fig.show='hold'----
+par(mfrow=c(1,2))
+plot(fit1, which.plot.group=5, loop=FALSE, xlim=c(0,0.043))
+plot(fit2, which.plot.group=5, loop=FALSE, xlim=c(0,0.043))
+
+
+## ------------------------------------------------------------------------
+fit.lars <- fitTsfm(asset.names=colnames(managers[,(1:6)]),
+ factor.names=colnames(managers[,(7:9)]), data=managers,
+ rf.name="US 3m TR", mkt.name="SP500 TR")
+fit.lars$beta
+fit.lars$r2
+
+fit.sub <- fitTsfm(asset.names=colnames(managers[,(1:6)]),
+ factor.names=colnames(managers[,(7:9)]), data=managers,
+ rf.name="US 3m TR", mkt.name="SP500 TR",
+ variable.selection="subsets", subset.size=4)
+fit.sub$beta
+fit.sub$r2
+
+
+## ----fig.cap="Factor betas: fit.lars", fig.show='hold'-------------------
+plot(fit.lars, which.plot.group=2, loop=FALSE)
+
+
+## ----fig.cap="Factor betas: fit.sub", fig.show='hold'--------------------
+plot(fit.sub, which.plot.group=2, loop=FALSE)
+
+
+## ----tidy=TRUE-----------------------------------------------------------
+args(fitTsfm.control)
+
+
+## ------------------------------------------------------------------------
+methods(class="tsfm")
+
+
+## ------------------------------------------------------------------------
+coef(fit.sub)
+tail(fitted(fit.sub))
+tail(residuals(fit.sub))
+
+# comparing data, fitted and residual values for HAM1
+tail(merge(fit.sub$data[,1], fitted(fit.sub)[,1], residuals(fit.sub)[,1]))
+
+# printed summary for the time series factor model
+summary(fit.sub, se.type="HAC")
+
+
+
+## ----fig.cap="Factor model return correlation (pairwise complete obs)"----
+fmCov(fit.sub)
+# return correlation plot; Angular Order of the Eigenvectors
+plot(fit.sub, which.plot.group=7, loop=FALSE, order="AOE", method="ellipse",
+ tl.pos = "d")
+
+
+## ----fig.cap="Percentage factor contribution to SD"----------------------
+decomp <- fmSdDecomp(fit.sub)
+# get the factor model standard deviation for all assets
+decomp$Sd.fm
+# get the component contributions to Sd
+decomp$cSd
+# get the marginal factor contributions to Sd
+decomp$mSd
+# get the percentage component contributions to Sd
+decomp$pcSd
+# plot the percentage component contributions to Sd
+plot(fit.sub, which.plot.group=8, loop=FALSE)
+
+
+## ----fig.cap="Percentage factor contribution to VaR"---------------------
+decomp2 <- fmVaRDecomp(fit.sub)
+# get the factor model value-at-risk for all assets
+decomp2$VaR.fm
+# get the component contributions to VaR
+decomp2$cVaR
+# get the marginal factor contributions to VaR
+decomp2$mVaR
+# get the percentage component contributions to VaR
+decomp2$pcVaR
+# plot the percentage component contributions to VaR
+plot(fit.sub, which.plot.group=10, loop=FALSE)
+
+
+## ----fig.cap="Percentage factor contribution to ES"----------------------
+decomp2 <- fmEsDecomp(fit.sub, method="historical")
+# get the factor model expected shortfall for all assets
+decomp2$ES.fm
+# get the component contributions to ES
+decomp2$cES
+# get the marginal factor contributions to ES
+decomp2$mES
+# get the percentage component contributions to ES
+decomp2$pcES
+# plot the percentage component contributions to ES
+plot(fit.sub, which.plot.group=9, loop=FALSE)
+
+
+## ----eval=FALSE----------------------------------------------------------
+## ## S3 method for class 'tsfm'
+## plot(x, which.plot.group=NULL, max.show=6, plot.single=FALSE, asset.name,
+## which.plot.single=NULL, colorset=(1:12), legend.loc="topleft", las=1,
+## VaR.method="historical", loop=TRUE, ...)
+
+
+## ----eval=FALSE, results='hide'------------------------------------------
+## plot(fit.sub)
+##
+## ## Make a plot selection (or 0 to exit):
+## ##
+## ## 1: Factor model coefficients: Alpha
+## ## 2: Factor model coefficients: Betas
+## ## 3: Actual and Fitted asset returns
+## ## 4: R-squared
+## ## 5: Residual Volatility
+## ## 6: Factor Model Residual Correlation
+## ## 7: Factor Model Return Correlation
+## ## 8: Factor Contribution to SD
+## ## 9: Factor Contribution to ES
+## ## 10: Factor Contribution to VaR
+## ##
+## ## Selection:
+
+
+## ----fig.cap="Actual and fitted factor model returns for the 1st 4 assets"----
+plot(fit.sub, which.plot.group=3, max.show=4, legend.loc=NULL, loop=FALSE)
+
+
+## ----eval=FALSE, results='hide'------------------------------------------
+## plot(fit.sub, plot.single=TRUE, asset.name="HAM1")
+##
+## ## Make a plot selection (or 0 to exit):
+## ##
+## ## 1: Time series plot of actual and fitted asset returns
+## ## 2: Time series plot of residuals with standard error bands
+## ## 3: Time series plot of squared residuals
+## ## 4: Time series plot of absolute residuals
+## ## 5: SACF and PACF of residuals
+## ## 6: SACF and PACF of squared residuals
+## ## 7: SACF and PACF of absolute residuals
+## ## 8: Histogram of residuals with normal curve overlayed
+## ## 9: Normal qq-plot of residuals
+## ## 10: CUSUM test-Recursive residuals
+## ## 11: CUSUM test-OLS residuals
+## ## 12: Recursive estimates (RE) test of OLS regression coefficients
+## ## 13: Rolling estimates over a 24-period observation window
+## ##
+## ## Selection:
+
+
+## ----fig.cap="Time series plot of residuals with standard error bands: HAM1", fig.show='hold'----
+plot(fit.sub, plot.single=TRUE, asset.name="HAM1", which.plot.single=2,
+ loop=FALSE)
+
+
+## ----fig.cap="SACF and PACF of absolute residuals: HAM1", fig.show='hold'----
+plot(fit.sub, plot.single=TRUE, asset.name="HAM1", which.plot.single=7,
+ loop=FALSE)
+
+
+## ----fig.cap="Histogram of residuals with normal curve overlayed for HAM1", fig.show='hold'----
+plot(fit.sub, plot.single=TRUE, asset.name="HAM1", which.plot.single=8,
+ loop=FALSE)
+
+
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