factorem belongs to the finRes suite where it facilitates asset pricing research and factor investment back-testing. The package is organised around a workhorse function and a series of wrappers for asset pricing factors popular in the literature. These functions get raw financial data retrieved from Bloomberg using the pullit package and return S4 objects that carry data belonging to the corresponding factor including positions and return time series.
See the eponym vignette for details: vignette("factorem", package = "factorem").
Install the development version from github with devtools::install_github("bautheac/factorem").