managers: Hypothetical Alternative Asset Manager and Benchmark Data

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

A xts object that contains columns of monthly returns for six hypothetical asset managers (HAM1 through HAM6), the EDHEC Long-Short Equity hedge fund index, the S\&P 500 total returns, and total return series for the US Treasury 10-year bond and 3-month bill. Monthly returns for all series end in December 2006 and begin at different periods starting from January 1996.

Note that all the EDHEC indices are available in edhec.

Usage

managers

Format

CSV conformed into an xts object with monthly observations

Details

Please note that the ‘managers’ data set included with PerformanceAnalytics will be periodically updated with new managers and information. If you intend to use this data set in automated tests, please be sure to subset your data like managers[1:120,1:6] to use the first ten years of observations on HAM1-HAM6.

Examples

data(managers)

#preview the data
head(managers)

#summary period statistics
summary(managers)

#cumulative returns
tail(cumprod(1+managers),1)

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

              HAM1 HAM2    HAM3    HAM4 HAM5 HAM6 EDHEC LS EQ SP500 TR
1996-01-31  0.0074   NA  0.0349  0.0222   NA   NA          NA   0.0340
1996-02-29  0.0193   NA  0.0351  0.0195   NA   NA          NA   0.0093
1996-03-31  0.0155   NA  0.0258 -0.0098   NA   NA          NA   0.0096
1996-04-30 -0.0091   NA  0.0449  0.0236   NA   NA          NA   0.0147
1996-05-31  0.0076   NA  0.0353  0.0028   NA   NA          NA   0.0258
1996-06-30 -0.0039   NA -0.0303 -0.0019   NA   NA          NA   0.0038
           US 10Y TR US 3m TR
1996-01-31   0.00380  0.00456
1996-02-29  -0.03532  0.00398
1996-03-31  -0.01057  0.00371
1996-04-30  -0.01739  0.00428
1996-05-31  -0.00543  0.00443
1996-06-30   0.01507  0.00412
     Index                 HAM1                HAM2         
 Min.   :1996-01-31   Min.   :-0.094400   Min.   :-0.03710  
 1st Qu.:1998-10-23   1st Qu.:-0.000025   1st Qu.:-0.00980  
 Median :2001-07-15   Median : 0.011150   Median : 0.00820  
 Mean   :2001-07-15   Mean   : 0.011123   Mean   : 0.01414  
 3rd Qu.:2004-04-07   3rd Qu.: 0.024850   3rd Qu.: 0.02520  
 Max.   :2006-12-31   Max.   : 0.069200   Max.   : 0.15560  
                                          NA's   :7         
      HAM3                HAM4               HAM5               HAM6         
 Min.   :-0.071800   Min.   :-0.17590   Min.   :-0.13200   Min.   :-0.04040  
 1st Qu.:-0.005375   1st Qu.:-0.01985   1st Qu.:-0.01640   1st Qu.:-0.00158  
 Median : 0.010200   Median : 0.01375   Median : 0.00380   Median : 0.01285  
 Mean   : 0.012447   Mean   : 0.01102   Mean   : 0.00409   Mean   : 0.01105  
 3rd Qu.: 0.031375   3rd Qu.: 0.04600   3rd Qu.: 0.03090   3rd Qu.: 0.02548  
 Max.   : 0.179600   Max.   : 0.15080   Max.   : 0.17470   Max.   : 0.05830  
                                        NA's   :55         NA's   :68        
  EDHEC LS EQ           SP500 TR           US 10Y TR            US 3m TR       
 Min.   :-0.055200   Min.   :-0.144600   Min.   :-0.070920   Min.   :0.000660  
 1st Qu.:-0.003175   1st Qu.:-0.017327   1st Qu.:-0.008515   1st Qu.:0.001570  
 Median : 0.011000   Median : 0.010950   Median : 0.004425   Median :0.003845  
 Mean   : 0.009545   Mean   : 0.008665   Mean   : 0.004385   Mean   :0.003226  
 3rd Qu.: 0.021450   3rd Qu.: 0.038025   3rd Qu.: 0.016660   3rd Qu.:0.004395  
 Max.   : 0.074500   Max.   : 0.097800   Max.   : 0.050550   Max.   :0.006580  
 NA's   :12                                                                    
               HAM1 HAM2     HAM3    HAM4 HAM5 HAM6 EDHEC LS EQ SP500 TR
2006-12-31 4.126671   NA 4.706732 3.52944   NA   NA          NA 2.761619
           US 10Y TR US 3m TR
2006-12-31  1.734037 1.529681

PerformanceAnalytics documentation built on Feb. 6, 2020, 5:11 p.m.