edhec: EDHEC-Risk Hedge Fund Style Indices
In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis
Description
Usage
Format
Details
Source
References
Examples
Description
EDHEC composite hedge fund style index returns.
Usage
1
Format
CSV conformed into an xts object with monthly observations
Details
EDHEC Data used in PerformanceAnalytics and related publications with the kind permission of the EDHEC Risk and Asset Management Research Center.
The 'edhec' data set included with PerformanceAnalytics will be periodically updated (typically annually) to include additional observations. If you intend to use this data set in automated tests, please be sure to subset your data like edhec[1:120,] to use the first ten years of observations.
From the EDHEC website:
“The EDHEC Risk and Asset Management Research Centre plays a noted role in furthering applied financial research and systematically highlighting its practical uses. As part of its philosophy, the centre maintains a dialogue with professionals which benefits the industry as a whole. At the same time, its proprietary R&D provides sponsors with an edge over competition and joint ventures allow selected partners to develop new business opportunities.
To further assist financial institutions and investors implement the latest research advances in order to meet the challenges of the changing asset management landscape, the centre has spawned two consultancies and an executive education arm. Clients of these derivative activities include many of the leading organisations throughout Europe.”
see http://www.edhec-risk.com/about_us
Source
http://www.edhec-risk.com/indexes/pure_style
References
About EDHEC Alternative Indexes. December 16, 2003. EDHEC-Risk.
http://www.edhec-risk.com/indexes/pure_style/about
Vaissie Mathieu. A Detailed Analysis of the Construction Methods and Management Principles of Hedge Fund Indices. October 2003. EDHEC.
http://www.edhec-risk.com/site_edhecrisk/public/indexes/EDHEC_Publications/RISKReview1072705188065793513
Examples
1
2
3
4
5
6
7
8
9
10
Example output
Loading required package: xts
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Attaching package: 'PerformanceAnalytics'
The following object is masked from 'package:graphics':
legend
Convertible Arbitrage CTA Global Distressed Securities
1997-01-31 0.0119 0.0393 0.0178
1997-02-28 0.0123 0.0298 0.0122
1997-03-31 0.0078 -0.0021 -0.0012
1997-04-30 0.0086 -0.0170 0.0030
1997-05-31 0.0156 -0.0015 0.0233
1997-06-30 0.0212 0.0085 0.0217
Emerging Markets Equity Market Neutral Event Driven
1997-01-31 0.0791 0.0189 0.0213
1997-02-28 0.0525 0.0101 0.0084
1997-03-31 -0.0120 0.0016 -0.0023
1997-04-30 0.0119 0.0119 -0.0005
1997-05-31 0.0315 0.0189 0.0346
1997-06-30 0.0581 0.0165 0.0258
Fixed Income Arbitrage Global Macro Long/Short Equity
1997-01-31 0.0191 0.0573 0.0281
1997-02-28 0.0122 0.0175 -0.0006
1997-03-31 0.0109 -0.0119 -0.0084
1997-04-30 0.0130 0.0172 0.0084
1997-05-31 0.0118 0.0108 0.0394
1997-06-30 0.0108 0.0218 0.0223
Merger Arbitrage Relative Value Short Selling Funds of Funds
1997-01-31 0.0150 0.0180 -0.0166 0.0317
1997-02-28 0.0034 0.0118 0.0426 0.0106
1997-03-31 0.0060 0.0010 0.0778 -0.0077
1997-04-30 -0.0001 0.0122 -0.0129 0.0009
1997-05-31 0.0197 0.0173 -0.0737 0.0275
1997-06-30 0.0231 0.0198 -0.0065 0.0225
Index Convertible Arbitrage CTA Global
Min. :1997-01-31 Min. :-0.123700 Min. :-0.054300
1st Qu.:2000-03-23 1st Qu.: 0.000925 1st Qu.:-0.011500
Median :2003-05-15 Median : 0.009200 Median : 0.005250
Mean :2003-05-16 Mean : 0.006409 Mean : 0.006489
3rd Qu.:2006-07-07 3rd Qu.: 0.014600 3rd Qu.: 0.022675
Max. :2009-08-31 Max. : 0.061100 Max. : 0.069100
Distressed Securities Emerging Markets Equity Market Neutral
Min. :-0.083600 Min. :-0.192200 Min. :-0.058700
1st Qu.:-0.000175 1st Qu.:-0.011400 1st Qu.: 0.002400
Median : 0.009700 Median : 0.013650 Median : 0.006300
Mean : 0.007953 Mean : 0.008246 Mean : 0.006003
3rd Qu.: 0.018225 3rd Qu.: 0.028875 3rd Qu.: 0.010125
Max. : 0.050400 Max. : 0.123000 Max. : 0.025300
Event Driven Fixed Income Arbitrage Global Macro
Min. :-0.088600 Min. :-0.086700 Min. :-0.031300
1st Qu.:-0.000025 1st Qu.: 0.002275 1st Qu.:-0.003600
Median : 0.010150 Median : 0.006000 Median : 0.006200
Mean : 0.007622 Mean : 0.004231 Mean : 0.007672
3rd Qu.: 0.018650 3rd Qu.: 0.009950 3rd Qu.: 0.016450
Max. : 0.044200 Max. : 0.036500 Max. : 0.073800
Long/Short Equity Merger Arbitrage Relative Value Short Selling
Min. :-0.06750 Min. :-0.054400 Min. :-0.069200 Min. :-0.134000
1st Qu.:-0.00370 1st Qu.: 0.001775 1st Qu.: 0.001850 1st Qu.:-0.025450
Median : 0.01015 Median : 0.007700 Median : 0.008450 Median :-0.000200
Mean : 0.00776 Mean : 0.006785 Mean : 0.006701 Mean : 0.004161
3rd Qu.: 0.02145 3rd Qu.: 0.013725 3rd Qu.: 0.014500 3rd Qu.: 0.035925
Max. : 0.07450 Max. : 0.027200 Max. : 0.039200 Max. : 0.246300
Funds of Funds
Min. :-0.061800
1st Qu.:-0.003325
Median : 0.006800
Mean : 0.005918
3rd Qu.: 0.015225
Max. : 0.066600
Convertible Arbitrage CTA Global Distressed Securities
2009-08-31 2.559585 2.550288 3.249667
Emerging Markets Equity Market Neutral Event Driven
2009-08-31 3.106494 2.468271 3.091342
Fixed Income Arbitrage Global Macro Long/Short Equity
2009-08-31 1.870396 3.128 3.120998
Merger Arbitrage Relative Value Short Selling Funds of Funds
2009-08-31 2.768785 2.723671 1.502321 2.39178
PerformanceAnalytics documentation built on Feb. 6, 2020, 5:11 p.m.
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Format Details Source References Examples
Description
EDHEC composite hedge fund style index returns.
Usage
1 |
Format
CSV conformed into an xts object with monthly observations
Details
EDHEC Data used in PerformanceAnalytics and related publications with the kind permission of the EDHEC Risk and Asset Management Research Center.
The 'edhec' data set included with PerformanceAnalytics will be periodically updated (typically annually) to include additional observations. If you intend to use this data set in automated tests, please be sure to subset your data like edhec[1:120,] to use the first ten years of observations.
From the EDHEC website: “The EDHEC Risk and Asset Management Research Centre plays a noted role in furthering applied financial research and systematically highlighting its practical uses. As part of its philosophy, the centre maintains a dialogue with professionals which benefits the industry as a whole. At the same time, its proprietary R&D provides sponsors with an edge over competition and joint ventures allow selected partners to develop new business opportunities.
To further assist financial institutions and investors implement the latest research advances in order to meet the challenges of the changing asset management landscape, the centre has spawned two consultancies and an executive education arm. Clients of these derivative activities include many of the leading organisations throughout Europe.”
see http://www.edhec-risk.com/about_us
Source
http://www.edhec-risk.com/indexes/pure_style
References
About EDHEC Alternative Indexes. December 16, 2003. EDHEC-Risk.
http://www.edhec-risk.com/indexes/pure_style/about
Vaissie Mathieu. A Detailed Analysis of the Construction Methods and Management Principles of Hedge Fund Indices. October 2003. EDHEC.
http://www.edhec-risk.com/site_edhecrisk/public/indexes/EDHEC_Publications/RISKReview1072705188065793513
Examples
1 2 3 4 5 6 7 8 9 10 |
Example output
Loading required package: xts
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Attaching package: 'PerformanceAnalytics'
The following object is masked from 'package:graphics':
legend
Convertible Arbitrage CTA Global Distressed Securities
1997-01-31 0.0119 0.0393 0.0178
1997-02-28 0.0123 0.0298 0.0122
1997-03-31 0.0078 -0.0021 -0.0012
1997-04-30 0.0086 -0.0170 0.0030
1997-05-31 0.0156 -0.0015 0.0233
1997-06-30 0.0212 0.0085 0.0217
Emerging Markets Equity Market Neutral Event Driven
1997-01-31 0.0791 0.0189 0.0213
1997-02-28 0.0525 0.0101 0.0084
1997-03-31 -0.0120 0.0016 -0.0023
1997-04-30 0.0119 0.0119 -0.0005
1997-05-31 0.0315 0.0189 0.0346
1997-06-30 0.0581 0.0165 0.0258
Fixed Income Arbitrage Global Macro Long/Short Equity
1997-01-31 0.0191 0.0573 0.0281
1997-02-28 0.0122 0.0175 -0.0006
1997-03-31 0.0109 -0.0119 -0.0084
1997-04-30 0.0130 0.0172 0.0084
1997-05-31 0.0118 0.0108 0.0394
1997-06-30 0.0108 0.0218 0.0223
Merger Arbitrage Relative Value Short Selling Funds of Funds
1997-01-31 0.0150 0.0180 -0.0166 0.0317
1997-02-28 0.0034 0.0118 0.0426 0.0106
1997-03-31 0.0060 0.0010 0.0778 -0.0077
1997-04-30 -0.0001 0.0122 -0.0129 0.0009
1997-05-31 0.0197 0.0173 -0.0737 0.0275
1997-06-30 0.0231 0.0198 -0.0065 0.0225
Index Convertible Arbitrage CTA Global
Min. :1997-01-31 Min. :-0.123700 Min. :-0.054300
1st Qu.:2000-03-23 1st Qu.: 0.000925 1st Qu.:-0.011500
Median :2003-05-15 Median : 0.009200 Median : 0.005250
Mean :2003-05-16 Mean : 0.006409 Mean : 0.006489
3rd Qu.:2006-07-07 3rd Qu.: 0.014600 3rd Qu.: 0.022675
Max. :2009-08-31 Max. : 0.061100 Max. : 0.069100
Distressed Securities Emerging Markets Equity Market Neutral
Min. :-0.083600 Min. :-0.192200 Min. :-0.058700
1st Qu.:-0.000175 1st Qu.:-0.011400 1st Qu.: 0.002400
Median : 0.009700 Median : 0.013650 Median : 0.006300
Mean : 0.007953 Mean : 0.008246 Mean : 0.006003
3rd Qu.: 0.018225 3rd Qu.: 0.028875 3rd Qu.: 0.010125
Max. : 0.050400 Max. : 0.123000 Max. : 0.025300
Event Driven Fixed Income Arbitrage Global Macro
Min. :-0.088600 Min. :-0.086700 Min. :-0.031300
1st Qu.:-0.000025 1st Qu.: 0.002275 1st Qu.:-0.003600
Median : 0.010150 Median : 0.006000 Median : 0.006200
Mean : 0.007622 Mean : 0.004231 Mean : 0.007672
3rd Qu.: 0.018650 3rd Qu.: 0.009950 3rd Qu.: 0.016450
Max. : 0.044200 Max. : 0.036500 Max. : 0.073800
Long/Short Equity Merger Arbitrage Relative Value Short Selling
Min. :-0.06750 Min. :-0.054400 Min. :-0.069200 Min. :-0.134000
1st Qu.:-0.00370 1st Qu.: 0.001775 1st Qu.: 0.001850 1st Qu.:-0.025450
Median : 0.01015 Median : 0.007700 Median : 0.008450 Median :-0.000200
Mean : 0.00776 Mean : 0.006785 Mean : 0.006701 Mean : 0.004161
3rd Qu.: 0.02145 3rd Qu.: 0.013725 3rd Qu.: 0.014500 3rd Qu.: 0.035925
Max. : 0.07450 Max. : 0.027200 Max. : 0.039200 Max. : 0.246300
Funds of Funds
Min. :-0.061800
1st Qu.:-0.003325
Median : 0.006800
Mean : 0.005918
3rd Qu.: 0.015225
Max. : 0.066600
Convertible Arbitrage CTA Global Distressed Securities
2009-08-31 2.559585 2.550288 3.249667
Emerging Markets Equity Market Neutral Event Driven
2009-08-31 3.106494 2.468271 3.091342
Fixed Income Arbitrage Global Macro Long/Short Equity
2009-08-31 1.870396 3.128 3.120998
Merger Arbitrage Relative Value Short Selling Funds of Funds
2009-08-31 2.768785 2.723671 1.502321 2.39178
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