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Cross-Section Factor Models

v1.0 · Jun 15, 2023 · GPL-2
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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.

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r-devel-linux-x86_64-debian-clang NOTE
r-devel-linux-x86_64-debian-gcc NOTE
r-devel-linux-x86_64-fedora-clang NOTE
r-devel-linux-x86_64-fedora-gcc NOTE
r-devel-macos-arm64 NOTE
r-devel-windows-x86_64 NOTE
r-oldrel-macos-arm64 NOTE
r-oldrel-macos-x86_64 NOTE
r-oldrel-windows-x86_64 NOTE
r-patched-linux-x86_64 NOTE
r-release-linux-x86_64 NOTE
r-release-macos-arm64 NOTE
r-release-macos-x86_64 NOTE
r-release-windows-x86_64 NOTE
Check details (14 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-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-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 9, 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: 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 obj
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 obj
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 obj
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 obj
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: 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 obj
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 obj
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 obj
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 obj
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 obj
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 obj
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 obj
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 obj
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 obj
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 obj

Dependency Network

Dependencies Reverse dependencies data.table xts zoo PerformanceAnalytics lattice sn tseries robustbase RobStatTM facmodCS

Version History

new 1.0 Mar 9, 2026