├── .Rbuildignore ├── .gitignore ├── DESCRIPTION ├── NAMESPACE ├── R ├── CornishFisher.R ├── VIF.R ├── assetDecomp.R ├── chartCusum.R ├── chartRobRisk.R ├── cusumActMgr.R ├── datasets.R ├── exposuresTseries.R ├── fitFfm.R ├── fitSfm.R ├── fitTsfm.R ├── fitTsfm.control.R ├── fitTsfmLagBeta.r ├── fitTsfmMT.r ├── fitTsfmUpDn.r ├── fmCov.R ├── fmEsDecomp.R ├── fmRsq.R ├── fmSdDecomp.R ├── fmTstats.R ├── fmVaRDecomp.R ├── fmmc.R ├── fmmcSemiParam.R ├── paFm.r ├── plot.pafm.r ├── plot.sfm.r ├── plot.tsfm.r ├── plot.tsfmUpDn.r ├── portEsDecomp.R ├── portSdDecomp.R ├── portVaRDecomp.R ├── portVolDecomp.R ├── predict.ffm.R ├── predict.sfm.r ├── predict.tsfm.r ├── predict.tsfmUpDn.r ├── print.ffm.R ├── print.pafm.r ├── print.sfm.r ├── print.tsfm.r ├── print.tsfmUpDn.r ├── repCusum.R ├── repExposures.R ├── repReturn.R ├── repRisk.R ├── riskDecomp.R ├── robRiskBudget.R ├── simulateARL.R ├── summary.ffm.R ├── summary.pafm.r ├── summary.sfm.r ├── summary.tsfm.r ├── summary.tsfmUpDn.r ├── tsPlotMP.R └── zzz.R ├── README.md ├── data ├── CommonFactors.RData ├── RussellData.rda ├── Stock.df.RData ├── StockReturns.RData ├── TreasuryYields.RData ├── cusumData.rda ├── factorDataSetDjia.rda ├── factorDataSetDjia5Yrs.rda ├── managers.ffm.rda ├── managers.rda ├── mktSP.rda ├── mktUS.rda ├── riskFreeRate.rda ├── stocks145scores6.rda ├── wtsDjiaGmv.rda ├── wtsDjiaGmvLo.rda ├── wtsStocks145Gmv.rda └── wtsStocks145GmvLo.rda ├── factorAnalytics.Rproj ├── inst ├── extdata │ ├── factorDataSet.csv │ └── timeSeriesReturns.csv ├── scripts │ └── test-ReturnExposureReporting.R └── tests │ └── test-fitTsfm.r ├── man ├── .Rapp.history ├── CommonFactors.Rd ├── CornishFisher.Rd ├── RussellData.Rd ├── Stock.df.Rd ├── StockReturns.Rd ├── TreasuryYields.Rd ├── VIF.Rd ├── assetDecomp.Rd ├── chartCusum.Rd ├── chartRobRisk.Rd ├── cusumActMgr.Rd ├── cusumData.Rd ├── exposuresTseries.Rd ├── factorDataSetDjia.Rd ├── factorDataSetDjia5yrs.Rd ├── fitFfm.Rd ├── fitSfm.Rd ├── fitTsfm.Rd ├── fitTsfm.control.Rd ├── fitTsfmLagBeta.Rd ├── fitTsfmMT.Rd ├── fitTsfmUpDn.Rd ├── fmCov.Rd ├── fmEsDecomp.Rd ├── fmRsq.Rd ├── fmSdDecomp.Rd ├── fmTstats.Rd ├── fmVaRDecomp.Rd ├── fmmc.Rd ├── fmmc.estimate.se.Rd ├── fmmcSemiParam.Rd ├── managers.Rd ├── managers.ffm.Rd ├── mktSP.Rd ├── mktUS.Rd ├── paFm.Rd ├── plot.pafm.Rd ├── plot.sfm.Rd ├── plot.tsfm.Rd ├── plot.tsfmUpDn.Rd ├── portEsDecomp.Rd ├── portSdDecomp.Rd ├── portVaRDecomp.Rd ├── portVolDecomp.Rd ├── predict.ffm.Rd ├── predict.sfm.Rd ├── predict.tsfm.Rd ├── predict.tsfmUpDn.Rd ├── print.ffm.Rd ├── print.pafm.Rd ├── print.sfm.Rd ├── print.tsfm.Rd ├── print.tsfmUpDn.Rd ├── repExposures.Rd ├── repReturn.Rd ├── repRisk.Rd ├── riskDecomp.Rd ├── riskFreeRate.Rd ├── robRiskBudget.Rd ├── simulateARL.Rd ├── stocks145scores6.Rd ├── summary.cusumActMgr.Rd ├── summary.ffm.Rd ├── summary.pafm.Rd ├── summary.sfm.Rd ├── summary.tsfm.Rd ├── summary.tsfmUpDn.Rd ├── tsPlotMP.Rd ├── wtsDjiaGmv.Rd ├── wtsDjiaGmvLo.Rd ├── wtsStocks145Gmv.Rd └── wtsStocks145GmvLo.Rd ├── 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