braverock/factorAnalytics: Factor Analytics for Asset Return Data

Linear factor model fitting for 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.

Getting started

Package details

AuthorEric Zivot, Doug Martin, Sangeetha Srinivasan, Avinash Acharya, Yi-An Chen, Mido Shammaa, Lingjie Yi, Kirk Li, and Justin M. Shea
MaintainerJustin M. Shea <jshea@roosevelt.edu>
LicenseGPL-2
Version2.4.1
URL https://github.com/braverock/FactorAnalytics
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("remotes")
remotes::install_github("braverock/factorAnalytics")
braverock/factorAnalytics documentation built on March 2, 2024, 11:17 p.m.