检验分组后三因子、五因子风险调整收益率
m1=numeric();m2=numeric();m3=numeric();m4=numeric();m5=numeric();m6=numeric()
for(o in 1:2){
for(i in 1:5){
m1[i+(o-1)*12]=mean(lapply(paste0("a",0:4,"b",o),get)[[i]])}
m1[i+(o-1)*12+1]=mean(lapply(paste0("a",0:4,"b",o),get)[[1]]-lapply(paste0("a",0:4,"b",o),get)[[5]])
for(i in 1:5){
m1[i+(o-1)*12+6]=t.test(lapply(paste0("a",0:4,"b",o),get)[[i]])$statistic[[1]]}
m1[i+(o-1)*12+7]=t.test(lapply(paste0("a",0:4,"b",o),get)[[1]]-lapply(paste0("a",0:4,"b",o),get)[[5]])$statistic[[1]]}
for(o in 1:2){
for(i in 1:5){
m2[i+(o-1)*12]=mean(lapply(paste0("a",0:4,"d",o),get)[[i]])}
m2[i+(o-1)*12+1]=mean(lapply(paste0("a",0:4,"d",o),get)[[1]]-lapply(paste0("a",0:4,"d",o),get)[[5]])
for(i in 1:5){
m2[i+(o-1)*12+6]=t.test(lapply(paste0("a",0:4,"d",o),get)[[i]])$statistic[[1]]}
m2[i+(o-1)*12+7]=t.test(lapply(paste0("a",0:4,"d",o),get)[[1]]-lapply(paste0("a",0:4,"d",o),get)[[5]])$statistic[[1]]}
for(o in 1:2){
for(i in 1:5){
m3[i+(o-1)*12]=mean(lapply(paste0("a",0:4,"e",o),get)[[i]])}
m3[i+(o-1)*12+1]=mean(lapply(paste0("a",0:4,"e",o),get)[[1]]-lapply(paste0("a",0:4,"e",o),get)[[5]])
for(i in 1:5){
m3[i+(o-1)*12+6]=t.test(lapply(paste0("a",0:4,"e",o),get)[[i]])$statistic[[1]]}
m3[i+(o-1)*12+7]=t.test(lapply(paste0("a",0:4,"e",o),get)[[1]]-lapply(paste0("a",0:4,"e",o),get)[[5]])$statistic[[1]]}
for(o in 1:2){
for(i in 1:5){
m4[i+(o-1)*12]=mean(lapply(paste0("a",0:4,"g",o),get)[[i]])}
m4[i+(o-1)*12+1]=mean(lapply(paste0("a",0:4,"g",o),get)[[1]]-lapply(paste0("a",0:4,"g",o),get)[[5]])
for(i in 1:5){
m4[i+(o-1)*12+6]=t.test(lapply(paste0("a",0:4,"g",o),get)[[i]])$statistic[[1]]}
m4[i+(o-1)*12+7]=t.test(lapply(paste0("a",0:4,"g",o),get)[[1]]-lapply(paste0("a",0:4,"g",o),get)[[5]])$statistic[[1]]}
mm1<-matrix(c(m1,m2,m3,m4),16,6,byrow=TRUE)
for(o in 1:2){
for(v in 1:5){
for(l in 1:5){
m5[l+(v-1)*5+(o-1)*60]=mean(lapply(paste0("a",0:4,"f",o),get)[[v]][[l]])}}
for(l in 1:5){
m5[l+(v-1)*5+(o-1)*60+5]=mean(lapply(paste0("a",0:4,"f",o),get)[[1]][[l]]-lapply(paste0("a",0:4,"f",o),get)[[5]][[l]])}
for(v in 1:5){
for(l in 1:5){
m5[l+(v-1)*5+(o-1)*60+30]=t.test(lapply(paste0("a",0:4,"f",o),get)[[v]][[l]])$statistic[[1]]}}
for(l in 1:5){
m5[l+(v-1)*5+(o-1)*60+35]=t.test(lapply(paste0("a",0:4,"f",o),get)[[1]][[l]]-lapply(paste0("a",0:4,"f",o),get)[[5]][[l]])$statistic[[1]]}}
for(o in 1:2){
for(v in 1:5){
m6[v+(o-1)*12]=mean(apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[v]]),1,mean))}
m6[v+(o-1)*12+1]=mean(apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[1]]),1,mean)-
apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[5]]),1,mean))
for(v in 1:5){
m6[v+(o-1)*12+6]=t.test(apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[v]]),1,mean))$statistic[[1]]}
m6[v+(o-1)*12+7]=t.test(apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[1]]),1,mean)-
apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[5]]),1,mean))$statistic[[1]]}
mm2<-matrix(m6,4,6,byrow = TRUE)
mm3<-rbind(mm1,matrix(m5[1:30],5,6),mm2[1,],matrix(m5[31:60],5,6),mm2[2,],matrix(m5[61:90],5,6),mm2[3,],matrix(m5[91:120],5,6),mm2[4,])
write.csv(mm3,"E:/R/tail risk/table/mm.csv",row.names = FALSE)
for(o in 1:2){
for(i in 1:5){
print(mean(lapply(paste0("a",0:4,"b",o),get)[[i]]))}
print(mean(lapply(paste0("a",0:4,"b",o),get)[[1]]-lapply(paste0("a",0:4,"b",o),get)[[5]]))}
for(o in 1:2){
for(i in 1:5){
print(t.test(lapply(paste0("a",0:4,"b",o),get)[[i]])$statistic[[1]])}
print(t.test(lapply(paste0("a",0:4,"b",o),get)[[1]]-lapply(paste0("a",0:4,"b",o),get)[[5]])$statistic[[1]])}
for(o in 1:2){
for(i in 1:5){
print(mean(lapply(paste0("a",0:4,"c",o),get)[[i]]))}
print(mean(lapply(paste0("a",0:4,"c",o),get)[[1]]-lapply(paste0("a",0:4,"c",o),get)[[5]]))}
for(o in 1:2){
for(i in 1:5){
print(t.test(lapply(paste0("a",0:4,"c",o),get)[[i]])$statistic[[1]])}
print(t.test(lapply(paste0("a",0:4,"c",o),get)[[1]]-lapply(paste0("a",0:4,"c",o),get)[[5]])$statistic[[1]])}
for(o in 1:2){
for(i in 1:5){
print(mean(lapply(paste0("a",0:4,"d",o),get)[[i]]))}
print(mean(lapply(paste0("a",0:4,"d",o),get)[[1]]-lapply(paste0("a",0:4,"d",o),get)[[5]]))}
for(o in 1:2){
for(i in 1:5){
print(t.test(lapply(paste0("a",0:4,"d",o),get)[[i]])$statistic[[1]])}
print(t.test(lapply(paste0("a",0:4,"d",o),get)[[1]]-lapply(paste0("a",0:4,"d",o),get)[[5]])$statistic[[1]])}
for(o in 1:2){
for(i in 1:5){
print(mean(lapply(paste0("a",0:4,"e",o),get)[[i]]))}
print(mean(lapply(paste0("a",0:4,"e",o),get)[[1]]-lapply(paste0("a",0:4,"e",o),get)[[5]]))}
for(o in 1:2){
for(i in 1:5){
print(t.test(lapply(paste0("a",0:4,"e",o),get)[[i]])$statistic[[1]])}
print(t.test(lapply(paste0("a",0:4,"e",o),get)[[1]]-lapply(paste0("a",0:4,"e",o),get)[[5]])$statistic[[1]])}
for(o in 1:2){
for(i in 1:5){
print(mean(lapply(paste0("a",0:4,"g",o),get)[[i]]))}
print(mean(lapply(paste0("a",0:4,"g",o),get)[[1]]-lapply(paste0("a",0:4,"g",o),get)[[5]]))}
for(o in 1:2){
for(i in 1:5){
print(t.test(lapply(paste0("a",0:4,"g",o),get)[[i]])$statistic[[1]])}
print(t.test(lapply(paste0("a",0:4,"g",o),get)[[1]]-lapply(paste0("a",0:4,"g",o),get)[[5]])$statistic[[1]])}
for(o in 1:2){
for(v in 1:5){
for(l in 1:5){
print(mean(lapply(paste0("a",0:4,"f",o),get)[[v]][[l]]))}}
for(l in 1:5){
print(mean(lapply(paste0("a",0:4,"f",o),get)[[1]][[l]]-lapply(paste0("a",0:4,"f",o),get)[[5]][[l]]))}}
for(o in 1:2){
for(v in 1:5){
for(l in 1:5){
print(t.test(lapply(paste0("a",0:4,"f",o),get)[[v]][[l]])$statistic[[1]])}}
for(l in 1:5){
print(t.test(lapply(paste0("a",0:4,"f",o),get)[[1]][[l]]-lapply(paste0("a",0:4,"f",o),get)[[5]][[l]])$statistic[[1]])}}
for(o in 1:2){
for(v in 1:5){
print(mean(apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[v]]),1,mean)))}
print(mean(apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[1]]),1,mean)-
apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[5]]),1,mean)))}
for(o in 1:2){
for(v in 1:5){
print(t.test(apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[v]]),1,mean))$statistic[[1]])}
print(t.test(apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[1]]),1,mean)-
apply(do.call("cbind",lapply(paste0("a",0:4,"f",o),get)[[5]]),1,mean))$statistic[[1]])}