An R package for the estimation and risk analysis of linear factor models for asset returns and portfolios. It contains model fitting methods for the three major types of factor models: time series (or, macroeconomic) factor model, fundamental factor model and statistical factor model. They allow for different types of distributions to be specified for modeling the fattailed behavior of financial returns, including Edgeworth expansions. Risk analysis measures such as VaR and ES, as well as performance attribution for factor models (factorcontributed vs idiosyncratic returns) are included.
Package details 


Author  Eric Zivot, Sangeetha Srinivasan and YiAn Chen 
Maintainer  Sangeetha Srinivasan <[email protected]> 
License  GPL2 
Version  2.0.20 
URL  http://rforge.rproject.org/projects/returnanalytics/ 
Package repository  View on GitHub 
Installation 
Install the latest version of this package by entering the following in R:

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