edhec: EDHEC-Risk Hedge Fund Style Indices

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
data(edhec)

#preview the data
head(edhec)

#summary period statistics
summary(edhec)

#cumulative index returns
tail(cumprod(1+edhec),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

           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 May 31, 2017, 3:16 a.m.