braverock/factorAnalytics: Factor Analytics
Version 2.0.33

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, Sangeetha Srinivasan and Yi-An Chen
MaintainerSangeetha Srinivasan <[email protected]>
LicenseGPL-2
Version2.0.33
URL http://r-forge.r-project.org/projects/returnanalytics/
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("braverock/factorAnalytics")
braverock/factorAnalytics documentation built on May 11, 2017, 4:34 p.m.