R Observatory: Metrics for facmodCS version 1.0

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

facmodCS

1.0Package record

Cross-Section Factor Models

0packages dependsuggested by 1

2.8Kdownloads / year

–test coverage

0/13flavors OK

Overview

About

Maintained by Mido ShammaaCRAN page ↗GitHub ↗

Linear cross-section factor model fitting with least-squares and robust fitting the 'lmrobdetMM()' function from 'RobStatTM'; related volatility, Value at Risk and Expected Shortfall risk and performance attribution (factor-contributed vs idiosyncratic returns); tabular displays of risk and performance reports; factor model Monte Carlo. The package authors would like to thank Chicago Research on Security Prices,LLC for the cross-section of about 300 CRSP stocks data (in the data.table object 'stocksCRSP', and S&P GLOBAL MARKET INTELLIGENCE for contributing 14 factor scores (a.k.a "alpha factors".and "factor exposures") fundamental data on the 300 companies in the data.table object 'factorSPGMI'. The 'stocksCRSP' and 'factorsSPGMI' data are not covered by the GPL-2 license, are not provided as open source of any kind, and they are not to be redistributed in any form.

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("facmodCS", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("robustport/facmodCS")

Development version from robustport/facmodCS. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-facmodcs

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled. We list this channel from recorded r2u download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-facmodCS

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-facmodCS

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed). We list this channel from recorded autoCRAN download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

Health

CRAN checks

13NOTE

Check messages

NOTERd filesr-devel-linux-x86_64-debian-clang, r-devel-linux-x86_64-debian-gcc, r-devel-linux-x86_64-fedora-clang, r-devel-linux-x86_64-fedora-gcc, r-devel-windows-x86_64, r-oldrel-macos-arm64, r-oldrel-macos-x86_64, r-oldrel-windows-x86_64, r-patched-linux-x86_64, r-release-linux-x86_64, r-release-macos-arm64, r-release-macos-x86_64, r-release-windows-x86_64

checkRd: (-1) fmCov.Rd:37: Lost braces; missing escapes or markup?
    37 | where, \code{alpha(i)} is the intercept, \code{f(t)} is a {K x 1} vector of 
       |                                                           ^
checkRd: (-1) plot.ffm.Rd:82: Lost braces; missing escapes or markup?
    82 | \item{las}{one of {0, 1, 2, 3} to set the direction of axis labels, same as
       |                   ^
checkRd: (-1) summary.ffm.Rd:39: Lost braces; missing escapes or markup?
    39 | Returned object is of class {summary.ffm}.
       |                             ^

CRAN check page ↗

Slowest check: 1.9 min · r-oldrel-windows-x86_64

Status changes

NOTE13 NOTENow
NOTE14 NOTE2026-03-10

Advisories

none known

How this is measured·How advisories are found

Documentation

In release 1.0

READMEYes · 10 wordsVignettesNoNEWSNoCitation fileNoWebsitenot declared in DESCRIPTION

Help pages: 35 (1 internal)includes a package overview page
Examples that run: 20%2 run in a plain check · 6 only when donttest examples are enabled (R CMD check --as-cran) · 2 never run
Exported functions with examples: 33%
Documented parameters: 93%
Return-value docs: 100%
Help pages citing references: 20%

How these are measured

Downloads

2.8K

CRAN downloads in the past year

Rank #17,970 · ~8/day · ~234/mo

Releases R versions

Daily download trend is not available in this view yet.

28530 days

71590 days

2.8K1 year

Compare downloads with other packages →

Also on71 r2u3 autocran

How downloads are counted

Repository

robustport/facmodcs ↗Account: robustport

2Stars

2Forks

0Open issues

0Open PRs

0Releases

50Commits

5Commit identities

50 commits · Last activity 2026-04-03 · 0% stars, 30d · Default branch at 1.0.5, ahead of CRAN 1.0 (checked 2026-10-18)

Responsiveness

How these are sampled

PRs merged (all time): 100%
Median days to close, 50 most recently updated closed issues: not measured
Median days to close, 50 most recently updated closed PRs: 0

Stars over time

2025-09-12 · 12026-07-07 · 2

How these are measured

PracticesBeta

1 development-tooling and community-health practice detected across 1 family in the upstream repository

Checks run against github.com/robustport/facmodcs on 2026-10-18.

Lint, format, editor (1)

RStudio project

How this is detected·Detection ruleset v3 (2026-09-26)

Dependencies

Declared dependencies

13 external dependencies (excludes base and recommended)

Installing facmodCS adds 23 packages (18 with compiled code, 22 MB of source tarballs). Heaviest: data.table 5.7 MB, PerformanceAnalytics 5.0 MB, robustbase 2.2 MB.

Depends (1)

R >= 3.5

Imports (10)

data.table xts zoo PerformanceAnalyticslatticemethodssn tseries robustbase RobStatTM

LinkingTo (0)

none

Suggests (5)

PCRA corrplot lmtest rugarch HH

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Suggested by 1

Suggests, most downloaded first

PCRA

How these are counted

Code & Tests

People & History

People (5)

Mido Shammaa

Author, Maintainer since 1.0 (2023)

Author, Contributor

Contributor, Author

Contributor

Contributor

Releases (1)

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
1.0Latest
record
2023-06-15 · current release
R
R 4.3.0 released · 2023-04-21

Package metadata

First published: 2023-06-15
Total releases: 1 / 3 yrs
License: GPL-2 OSI
Minimum R: ≥ 3.5
Download size: 86 KB

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("facmodCS")

Format

Shammaa, M., Acharya, A., Li, K., Martin, D., & Yi, L. (2023). facmodCS: Cross-Section Factor Models (Version 1.0) [Computer software]. https://doi.org/10.32614/CRAN.package.facmodCS

This package has no citation file, so citation() returns this entry built from DESCRIPTION.

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for facmodCS version 1.0 [Data set]. HJJB, LLC. Data release v2026-10-21. https://doi.org/10.5281/zenodo.21843040

From data release v2026-10-21, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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