In MeanerReversion/bdrift: Beta Drift Analysis

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bdrift provides tools for analyzing and visualizing beta drift in multi-factor models.

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.

IMPORTANT NOTE: This package was developed with the GUI of RStudio in mind. The plotting function creates a potentially large number of plots which can be comfortably viewed in RStudio, but require some preparations in the standard R GUI. Start by executing dev.new(), which opens a graphical device. Next, click the "History" tab and then click "Recording" in the drop-down menu. If you run the plotting function now, you can jump through the plots using the PageUp and PageDown keys on your keyboard.

If you are interested in contributing, please contact the package author.

MeanerReversion/bdrift documentation built on May 8, 2019, 9:54 a.m.