braverock/factorAnalytics: Factor Analytics for Asset Return Data

This package combines the work of several researchers focused on asset pricing using linear factor models, spanning the course of more than a decade. While the project has matured on github and versions of it are used in production at varous investment firms, we are finally adding it to CRAN for ease of access to a wider R user base. The package contains linear factor models for fitting asset returns (three major types-time series, fundamental and statistical factor models); related risk (volatility, VaR and ES) and performance attribution (factor-contributed vs idiosyncratic returns); tabular displays of risk and performance reports; factor model Monte Carlo, single and multiple imputation methods for simulating returns and backfilling unequal histories.

install.packages("remotes")
remotes::install_github("braverock/factorAnalytics")