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. S&P GLOBAL MARKET INTELLIGENCE has kindly provided firm fundamentals data referred to as scores or alpha factors for educational use in the open source factorAnalytics R package. The data is contained in the R dataframe object factorDataSPGMI consisting of the following crosssection of scores for approximately 300 stocks from 1990 to 2015: AccrualRatioCF, AnnVol12M, Beta60M, BP, Chg1YEPS, DivP, EBITDAEV, EP, EQstyle, LogMktCap, PM12M1M, ROE. This data greatly facilitates the educational value to users of the fundamental factor model in factorAnalytics. The package developers wish to thank S&P Global Market Intelligence for contributing this data to the factorAnalytics package.
Package details 


Author  Eric Zivot, Doug Martin, Sangeetha Srinivasan, Avinash Acharya, YiAn Chen, Mido Shammaa, and Lingjie Yi 
Maintainer  Sangeetha Srinivasan <[email protected]> 
License  GPL2 
Version  2.0.34 
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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