FactorAnalytics
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braverock
Market cap groupings (Large Cap, Mid Cap, Small Cap, Micro Cap) were apparently assigned by ??? and were not official data pulled by from CRSP or S&P Global Markets. Two...
factorsSPGMI and stocksCRSP do not use official GICS naming conventions in sector names. In addition, several securities have obvious misspellings in Sector assignment, resulting in incorrect groupings. For example: `unique(factorsSPGMI$Sector)...
A subset of securities have incorrect Sectors and GICS data. This appears to be the result of human error in creating data sets...my best guess is that S&P used the...
Document additional restrictions on choice of `addIntercept = TRUE`. Make sure docs reflect functions here. Also, please see https://github.com/braverock/FactorAnalytics/blob/master/R/fmTstats.R#L79-L89 And also: https://github.com/braverock/FactorAnalytics/blob/master/R/fitFfm.R#L193-L200
Line 389 produces the Warning message: Warning message: In sub(pattern = specObj$exposures.char, colnames(beta), replacement = "") : argument 'pattern' has length > 1 and only the first element will be...
With the following example: https://github.com/braverock/FactorAnalytics/blob/master/R/plot.ffm.R#L111-L122 ``` data(factorDataSetDjia5Yrs) # fit a fundamental factor model exposure.vars
We have original .xlsx files for all the CRSP data except the monthly and weekly risk-free rate returns, for which we have only the files risk-free monthly.csv and risk-free weekly.csv....
This description is a bit outdated. Update the content to better reflect that of the `README.md` and better focus on the most important aspects. Related to #59
This issue replaces issue #71. The man page for fitFfmDT and related man pages (specFfm, extractRegressionStats, convert, lagExposures, residualizeReturns, standardizeExposures, standardizeReturns) all need to be complete with Examples, and sufficient...
Only 1 stock among the set of 310 CRSP stocks we have, of which we currently use 300, and this causes problems. In addition it turns out that there are...