braverock
plot.ffm, some chart options not working
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 <- c("P2B", "MKTCAP")
fit.style.sector <- fitFfm(data=factorDataSetDjia5Yrs, asset.var="TICKER",
ret.var="RETURN", date.var="DATE",
exposure.vars=exposure.vars)
plot(fit.style.sector)
Make a plot selection (or 0 to exit):
1: Distribution of factor returns
2: Factor exposures from the last period
3: Actual and Fitted asset returns
4: Time-series of R-squared values
5: Residual variance across assets
6: Scatterplot matrix of residuals, with histograms, density overlays, correlations and significance stars
7: Factor Model Residual Correlation
8: Factor Model Return Correlation
9: Factor Contribution to SD
10: Factor Contribution to ES
11: Factor Contribution to VaR
12: Time series of factor returns
option 3: Actual and Fitted asset returns
Error in xts(x, order.by = order.by, frequency = frequency, .CLASS = "double", :
NROW(x) must match length(order.by)
option 4: Time-series of R-squared values
Doesn't have an error, but chart isn't produced
option 8: Factor Model Return Correlation
rror in cov2cor(fmCov(x)[a.sub, a.sub]) :
'V' is not a square numeric matrix
Also some, slightly different issues with data.table methodology.
Having reviewed more of the plot.ffm examples in the vignette code Doug_versionOfSangeetha_fitFfmVignette.R, I am near to concluding that we should just do away with plot.ffm, But I will check the examples in the plot.ffm man page and see if I can get them all to work - with Kirk's help. In that case we can just leave plot.ffm in FA for now.
Ok @martinrd3D , just let me know. Any additional updates here? I'll just move it into "Under Review" on the board for now.
Kirk is working on this, and told me yesterday that he was half-way finished.
On Wed, Dec 22, 2021 at 12:53 AM Justin M. Shea @.***> wrote:
Ok, let me know. Any additional updates here? I'll just move it into "Under Review" on the board for now.
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@kecoli I believe your recent PR #82 was to partially fix this issue, though we still have more items to go here.