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 (factorcontributed 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.
Package details 


Author  Eric Zivot, Sangeetha Srinivasan and YiAn Chen 
Maintainer  Sangeetha Srinivasan <[email protected]> 
License  GPL2 
Version  2.0.33 
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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