residualizeReturns {facmodCS}

residualizeReturns

Description

#' function to Residualize the returns via regressions

Usage

residualizeReturns(specObj, benchmark, rfRate, isBenchExcess = FALSE)

Arguments

specObj

specObj is a ffmSpec object,

benchmark

we might need market returns

rfRate

risk free rate

isBenchExcess

toggle to select whether to calculate excess returns

Details

this function operates on the data inside the specObj and residualizes the returns to create residual return using regressions of returns on a benchmark.

Value

the ffmSpec object with resturns residualized

See Also

specFfm for information on the definition of the specFfm object.