factorem belongs to the
finRes suite where it facilitates
asset pricing research and factor investment back-testing. The package
is organised around a workhorse function and a series of wrappers for
asset pricing factors popular in the literature. These functions get raw
financial data retrieved from Bloomberg using the
pullit package and return S4
objects that carry data belonging to the corresponding factor including
positions and return time series.
See the eponym vignette for details: vignette("factorem", package =
"factorem")
.
Install the development version from github with
devtools::install_github("bautheac/factorem")
.
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