PerformanceAnalyticsData       package:fEcofin       R Documentation

_P_e_r_f_o_r_m_a_n_c_e _A_n_a_l_y_t_i_c_s _D_a_t_a _S_e_t_s

_D_e_s_c_r_i_p_t_i_o_n:

     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.

_F_o_r_m_a_t:

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

_D_e_t_a_i_l_s:

     *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 <URL: http://www.edhec-risk.com/about_us>

     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.

_R_e_f_e_r_e_n_c_e_s:

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

     EDHEC (2003); _About EDHEC Alternative Indexes_, EDHEC-Risk,
      <URL: http://www.edhec-risk.com/indexes/pure_style/about>.

     Vaissie Mathieu (2003); _A Detailed Analysis of the Construction
     Methods and Management  Principles of Hedge Fund Indices_,
      <URL:
     http://www.edhec-risk.com/site_edhecrisk/public/indexes/EDHEC_Publications/RISKReview1072705188065793513>.

     Carl P., Peterson B.G. (2007); _PerformanceAnalytics: Econometric
     Tools for Performance and  Risk Analysis_, 
      <URL:
     http://cran.r-project.org/doc/packages/PerformanceAnalytics.pdf>.

_E_x_a_m_p_l_e_s:

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

