predict.ffm

S3 <code>predict</code> method for object of class <code>ffm</code>.

Linear cross-section factor model fitting with least-squares
and robust fitting the 'lmrobdetMM()' function from 'RobStatTM'; related
volatility, Value at Risk and Expected Shortfall risk and performance
attribution (factor-contributed vs idiosyncratic returns);
tabular displays of risk and performance reports;
factor model Monte Carlo. The package authors would like to thank Chicago
Research on Security Prices,LLC for the cross-section of about 300
CRSP stocks data (in the data.table object 'stocksCRSP', and S&P GLOBAL MARKET
INTELLIGENCE for contributing 14 factor scores (a.k.a "alpha factors".and
"factor exposures") fundamental data on the 300 companies in the data.table
object 'factorSPGMI'.  The 'stocksCRSP' and 'factorsSPGMI' data are not covered by
the GPL-2 license, are not provided as open source of any kind, and they are
not to be redistributed in any form.

Mido Shammaa

facmodCS

Cross-Section Factor Models

Doug Martin

Kirk Li

Avinash Acharya

Lingjie Yi

predict.ffm function

<dl><dt>object</dt>
<dd>an object of class <code>ffm</code> produced by <code>fitFfm</code>.</dd>
<dt>newdata</dt>
<dd>data.frame containing the variables <code>asset.var</code>, 
<code>date.var</code> and the same exact <code>exposure.vars</code> used in the fitted
<code>ffm</code> object. If omitted, the predictions are based on the data used 
for the fit.</dd>
<dt>pred.date</dt>
<dd>character; unique date used to base the predictions. Should 
be coercible to class <code>Date</code> and match one of the dates in the data used
in the fiited <code>object</code>.</dd>
<dt>...</dt>
<dd>optional arguments passed to <code>predict.lm</code> or 
<code>predict.lmrob</code>.</dd></dl>

Arguments

Author

Predicts asset returns based on a fitted fundamental factor model — predict.ffm

<dl>

<dt>object</dt>
<dd>an object of class <code>ffm</code> produced by <code>fitFfm</code>.</dd>


<dt>newdata</dt>
<dd>data.frame containing the variables <code>asset.var</code>, 
<code>date.var</code> and the same exact <code>exposure.vars</code> used in the fitted
<code>ffm</code> object. If omitted, the predictions are based on the data used 
for the fit.</dd>


<dt>pred.date</dt>
<dd>character; unique date used to base the predictions. Should 
be coercible to class <code>Date</code> and match one of the dates in the data used
in the fiited <code>object</code>.</dd>


<dt>...</dt>
<dd>optional arguments passed to <code>predict.lm</code> or 
<code>predict.lmrob</code>.</dd>

</dl>

predict.ffm: Predicts asset returns based on a fitted fundamental factor model

Description

Usage

Value

Arguments

Author

Details

See Also