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PCRA (version 1.3.1)

Companion to Portfolio Construction and Risk Analysis

Description

A collection of functions and data sets that support teaching a quantitative finance MS level course on Portfolio Construction and Risk Analysis, and the writing of a textbook for such a course. The package is unique in providing several real-world data sets that may be used for problem assignments and student projects. The data sets include cross-sections of stock data from the Center for Research on Security Prices, LLC (CRSP), corresponding factor exposures data from S&P Global, and several SP500 data sets.

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Version

Install

install.packages('PCRA')

Monthly Downloads

309

Version

1.3.1

License

GPL-2

Issues

Pull Requests

Stars

Forks

Repository

https://github.com/robustport/PCRA

Maintainer

Doug Martin

Last Published

July 15th, 2026

Functions in PCRA (1.3.1)

USTreasuryTradeweb

USTreasuryTradeweb

Fama-French 3-Factor Model Weekly Time Series

Global Minimum Variance Portfolio (GMV)

Title Minimum Variance Long-Only Risky Assets Portfolio

opt.outputMvoPCRA

Optimal Portfolio Weights and Performance

A Barplot of a Set of Portfolio Weights

abbreviate_name

Abbreviate a vector of names

mathEfrontRiskyMuCov

Efficient Frontier

HHI Based Diversification Index

plotLSandRobustSFM

Robust and Least Square Single Factor Model (SFM) Fits

plotLSandHuberRobustSFM

Plot LS and Huber SFM Fits

CRSP Returns for 8 stocks in 4 cap groups

stocksCRSPmonthly

stocksCRSPmonthly

CRSP Returns of Stock with Ticker DD

Fama-French 4-Factor Model Weekly Time Series

stocksCRSPweekly

CRSP weekly stocks data for 294 stocks

CRSP Returns of Stock with Ticker EDS

buildPortfolios

Build a List of Portfolio Specifications (Default Example)

Long Short Portfolio Leverage

Efficient Frontiers from Returns

minVarCashRisky

Minimum Variance Portfolio

CRSP Returns of Stock with Ticker WTS

mathEfrontCashRisky

Math Efficient Frontier: Cash and Risky Assets

meanReturns4Types

Four Types of Mean Returns

mathEfrontRisky

Efficient Frontier of Risky Stocks

Huber psi function

Global Minimum Variance Portfolios From Mu and Cov

EWMA Mean and Volatility

ellipsesPlotPCRA.covfm

Overlaid Correlations Ellipses Plots

Download CRSP and SPGMI Data

SPGMI Data 14 Factors for 294 Stocks

Select CRSP Stocks Returns

Tangency Portfolio Weights

qqnormDatWindat

qqnormDatWindat

mathWtsEfrontRisky

Efficient Frontier Portfolio Weights Vectors

Lattice Multi-Panel Time Series Plots

Portfolio Turnover

mathWtsEfrontRiskyMuCov

Efficient Frontier Portfolio Weights Vectors

runMultipleBacktests

Run Multiple Portfolio Backtests and Plot

runPortfolioBacktest

Run Portfolio Backtest and Plot

Five German Investment Funds

Update to Developer version on Github that have access to additional functions and data

CRSP Returns of Stock with Ticker MER

Winsorized Mean

CRSP Returns of Stock with Ticker OFG

CRSP Returns of Stock with Ticker PSC

CRSP Returns of Stock with Ticker VHI

Invensys Earnings per Share

CRSP Returns of Stock with Ticker FNB

selectCRSPandSPGMI

Select and merge data from the stocksCRSP and factorsSPGMI data sets

Transfer Coefficent

Function to convert from daily to weekly returns.

stocksCRSPdaily

CRSP daily stocks data for 294 stocks

Function to convert from daily to weekly returns.

Select CRSP Stocks Returns

CRSP Returns of Stock with Ticker KBH

Skewness estimator

CboeOptionStrategies

CboeOptionStrategies

Kurtosis Estimator

ConferenceBoardETI

ConferenceBoardETI

CRSPLiquidMktCapGrpsCnts

CRSP Stocks Cap Groups Counts

FRBinterestRates

Federal Reserve Board Interest Rates

CBOE S&P 500 BuyWrite Index

Hedge Fund Strategies Returns

Global Baskets of Equity and Bonds

PCRA: Companion to Portfolio Construction and Risk Analysis

SP400Industrials

SP400Industrials

SP500from1967to2007

SP500from1967to2007

SP425Industrials

SP425Industrials

ShortDurationCredit

ShortDurationCredit

Clean Returns Outliers Effectively

Bootstrapped Efficient Frontiers

Create Efficient Frontier