bdrift: Beta Drift Analysis
Version 1.2.2

Beta drift poses a serious challenge to asset managers and financial researchers. Beta drift causes problems in asset pricing models and can have serious ramifications for hedging attempts. Providing users with a tool that allows them to quantify beta drift and form educated opinions about it is the primary purpose of this package. This package contains the BDA() function that performs a beta drift analysis, typically for multi-factor asset pricing models. The BDA() function tests the underlying model parameters for drift across time, drift across model horizon, and applies a jackknife procedure to the baseline model. This allows the users to draw conclusions about the stability of model parameters or make inferences about the behavior of funds. For example, the drift of parameters for active funds could be interpreted as implicit style drift or, in the case of passive funds, management's inability to track a benchmark completely.

Browse man pages Browse package API and functions Browse package files

AuthorMarkus Peter Auer [aut, cre]
Date of publication2016-04-06 09:43:08
MaintainerMarkus Peter Auer <mp.auer@meanerreversion.com>
LicenseGPL-3
Version1.2.2
URL http://github.com/MeanerReversion/bdrift
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("bdrift")

Man pages

BDA: Beta Drift Anaylsis
BDA.loader: Beta Drift Anaylsis Data Loader
bdrift-package: Analyzing Beta Drift
FFfactors: Dataset to Estimate Multi-Factor Models for Return Samples
plot.BDA: Plot Beta Drift Analyses
print.BDA: Print Beta Drift Anaylses
summary.BDA: Summarize Beta Drift Analyses

Functions

BDA Man page Source code
BDA.loader Man page Source code
FFfactors Man page
bdrift Man page
bdrift-package Man page
plot.BDA Man page Source code
print.BDA Man page Source code
summary.BDA Man page Source code

Files

NAMESPACE
data
data/FFfactors.rda
R
R/bdrift.R
R/plot.R
R/FFfactors.R
R/print.R
R/summary.R
R/BDAloader.R
R/BDA.R
MD5
DESCRIPTION
man
man/BDA.loader.Rd
man/summary.BDA.Rd
man/print.BDA.Rd
man/plot.BDA.Rd
man/BDA.Rd
man/bdrift-package.Rd
man/FFfactors.Rd
bdrift documentation built on May 29, 2017, 6:19 p.m.