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, and Lingjie Yi 
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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