facmodCS

Cross-Section Factor Models

v1.0 · Jun 15, 2023 · GPL-2

Description

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.

Downloads

CRAN

267

Last 30 days

15480th

776

Last 90 days

2.7K

Last year

Trend: +36.9% (30d vs prior 30d)

r2u CRAN

Last 30 days

Last 90 days

102

Last year

Trend: -35.7% (30d vs prior 30d)

CRAN Check Status

13 NOTE

Show all 13 flavors

Flavor	Status	Time
r-devel-linux-x86_64-debian-clang	NOTE	77.4s
r-devel-linux-x86_64-debian-gcc	NOTE	54.1s
r-devel-linux-x86_64-fedora-clang	NOTE	117.2s
r-devel-linux-x86_64-fedora-gcc	NOTE	111.5s
r-devel-windows-x86_64	NOTE	97s
r-oldrel-macos-arm64	NOTE
r-oldrel-macos-x86_64	NOTE	71s
r-oldrel-windows-x86_64	NOTE	113s
r-patched-linux-x86_64	NOTE	70.7s
r-release-linux-x86_64	NOTE
r-release-macos-arm64	NOTE	19s
r-release-macos-x86_64	NOTE	73s
r-release-windows-x86_64	NOTE	97s

Check details (13 non-OK)

NOTE r-devel-linux-x86_64-debian-clang

Rd files

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}.
       |                             ^

NOTE r-devel-linux-x86_64-debian-gcc

Rd files

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}.
       |                             ^

NOTE r-devel-linux-x86_64-fedora-clang

Rd files

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}.
       |                             ^

NOTE r-devel-linux-x86_64-fedora-gcc

Rd files

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}.
       |                             ^

NOTE r-devel-windows-x86_64

Rd files

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}.
       |                             ^

NOTE r-oldrel-macos-arm64

Rd files

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}.
       |                             ^

NOTE r-oldrel-macos-x86_64

Rd files

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}.
       |                             ^

NOTE r-oldrel-windows-x86_64

Rd files

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}.
       |                             ^

NOTE r-patched-linux-x86_64

Rd files

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}.
       |                             ^

NOTE r-release-linux-x86_64

Rd files

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}.
       |                             ^

NOTE r-release-macos-arm64

Rd files

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}.
       |                             ^

NOTE r-release-macos-x86_64

Rd files

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}.
       |                             ^

NOTE r-release-windows-x86_64

Rd files

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}.
       |                             ^

Check History

NOTE 0 OK · 14 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026

NOTE r-devel-linux-x86_64-debian-clang

Rd files

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
...[truncated]...
{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}.
       |                             ^

NOTE r-devel-linux-x86_64-debian-gcc

Rd files

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
...[truncated]...
{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}.
       |                             ^

NOTE r-devel-linux-x86_64-fedora-clang

Rd files

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
...[truncated]...
{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}.
       |                             ^

NOTE r-devel-linux-x86_64-fedora-gcc

Rd files

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
...[truncated]...
{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}.
       |                             ^

NOTE r-devel-macos-arm64

Rd files

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
...[truncated]...
{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}.
       |                             ^

NOTE r-devel-windows-x86_64

Rd files

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
...[truncated]...
{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}.
       |                             ^

NOTE r-patched-linux-x86_64

Rd files

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
...[truncated]...
{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}.
       |                             ^

NOTE r-release-linux-x86_64

Rd files

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
...[truncated]...
{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}.
       |                             ^

NOTE r-release-macos-arm64

Rd files

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
...[truncated]...
{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}.
       |                             ^

NOTE r-release-macos-x86_64

Rd files

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
...[truncated]...
{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}.
       |                             ^

NOTE r-release-windows-x86_64

Rd files

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
...[truncated]...
{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}.
       |                             ^

NOTE r-oldrel-macos-arm64

Rd files

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
...[truncated]...
{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}.
       |                             ^

NOTE r-oldrel-macos-x86_64

Rd files

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
...[truncated]...
{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}.
       |                             ^

NOTE r-oldrel-windows-x86_64

Rd files

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
...[truncated]...
{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}.
       |                             ^

Reverse Dependencies (1)

suggests

PCRA

Dependency Network

Version History

1 tracked

new 1.0 Mar 10, 2026

R Observatory began tracking this package on Mar 10, 2026; it first appeared on CRAN Jun 15, 2023. Releases before tracking aren’t shown.