PerformanceAnalyticsPackage: Performance Analytics Data Sets

In fEcofin: Rmetrics - Economic and Financial Data Sets

Performance Analytics Data Sets

Description

A collection and description of data sets used in the examples of the contributed R package "PerformanceAnalytics".

The data sets are:

edhec.tS	composite hedge fund style index returns,
managers.tS	fixed income benchmarks.

Format

All files are in CSV Excel spreadsheet format. The delimiter is a semicolon. The time stamps are ISO-8601 formatted.

Details

EDHEC composite hedge fund style index returns:

“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”. [Source: EDHEC website]

see https://risk.edhec.edu/who-we-are

Data used in PerformanceAnalytics and related publications with the kind permission of the EDHEC Risk and Asset Management Research Center.

Hypothetical Alternative Asset Manager Data and Fixed Income Benchmarks:

A data frame 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.

References

Berndt E.R. (1991); The Practice of Econometrics: Classic and Contemporary, Addison-Wesley Publishing Co.

EDHEC (2003); About EDHEC Alternative Indexes, EDHEC-Risk,
https://risk.edhec.edu/about-edhec-risk-alternative-indexes.

Vaissie Mathieu (2003); A Detailed Analysis of the Construction Methods and Management Principles of Hedge Fund Indices,
https://risk.edhec.edu/publications/detailed-analysis-construction-methods-and.

Carl P., Peterson B.G. (2007); PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis,
https://CRAN.R-project.org/package=PerformanceAnalytics.

Examples

## Load Example Data Set:
   data(edhec.tS)
   edhec.tS

fEcofin documentation built on Sept. 9, 2022, 3:01 p.m.