Market factor — market_factor • factorem

Provided with futures contract front or equity price data from Bloomberg retrieved with pullit, construct market factor.

market_factor(data, return_frequency = "month", long = T)

# S4 method for FuturesTS
market_factor(data, return_frequency = "month", long = T)

# S4 method for EquityMarket
market_factor(data, return_frequency = "month", long = T)

Arguments

data	an S4 object of class `FuturesTS` or `EquityMarket`. `FuturesTS` and `EquityMarket` objects are returned by the `BBG_futures_TS` and `BBG_equity_market` functions from the pullit package respectively.
return_frequency	a scalar `character` vector. Specifies the frequency of the returns output. Must be one of 'year', 'semester', 'quarter', 'month', 'week' or 'day'. Defaults to 'day'.
long	a scalar logical vector. If `TRUE` long only, else short only. Default: `TRUE`.

Value

An S4 object of class AssetPricingFactor.