edhec.RdEDHEC composite hedge fund style index returns.
data(edhec)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.”
CSV loaded into R and saved as an xts object with monthly observations. NOTE: In the era of CoVid-19, a few observations in the `Short Selling` index have not been reported. We chose to zero fill them at this time. These are observations on 2020-04-30, 2020-05-31, 2020-11-30, 2020-12-31, 2021-01-31, 2021-04-30, and 2021-05-31.
About EDHEC Alternative Indexes. December 16, 2003. EDHEC-Risk.
Vaissie Mathieu. A Detailed Analysis of the Construction Methods and Management Principles of Hedge Fund Indices. October 2003. EDHEC.
data(edhec)
#preview the data
head(edhec)
#> 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
#summary period statistics
summary(edhec)
#> Index Convertible Arbitrage CTA Global
#> Min. :1997-01-31 Min. :-0.123700 Min. :-0.056800
#> 1st Qu.:2003-02-28 1st Qu.: 0.000200 1st Qu.:-0.011400
#> Median :2009-03-31 Median : 0.006500 Median : 0.002000
#> Mean :2009-03-31 Mean : 0.005792 Mean : 0.004317
#> 3rd Qu.:2015-04-30 3rd Qu.: 0.013700 3rd Qu.: 0.019900
#> Max. :2021-05-31 Max. : 0.061100 Max. : 0.069100
#> Distressed Securities Emerging Markets Equity Market Neutral
#> Min. :-0.106100 Min. :-0.19220 Min. :-0.058700
#> 1st Qu.:-0.002100 1st Qu.:-0.00920 1st Qu.: 0.000900
#> Median : 0.008800 Median : 0.01000 Median : 0.004700
#> Mean : 0.006825 Mean : 0.00673 Mean : 0.004335
#> 3rd Qu.: 0.017900 3rd Qu.: 0.02570 3rd Qu.: 0.008300
#> Max. : 0.050400 Max. : 0.12300 Max. : 0.025300
#> Event Driven Fixed Income Arbitrage Global Macro
#> Min. :-0.126900 Min. :-0.08670 Min. :-0.031300
#> 1st Qu.:-0.001200 1st Qu.: 0.00180 1st Qu.:-0.003900
#> Median : 0.008800 Median : 0.00550 Median : 0.004700
#> Mean : 0.006674 Mean : 0.00443 Mean : 0.005598
#> 3rd Qu.: 0.016800 3rd Qu.: 0.00930 3rd Qu.: 0.012800
#> Max. : 0.066600 Max. : 0.03650 Max. : 0.073800
#> Long/Short Equity Merger Arbitrage Relative Value Short Selling
#> Min. :-0.081300 Min. :-0.079000 Min. :-0.069200 Min. :-0.13400
#> 1st Qu.:-0.004700 1st Qu.: 0.000700 1st Qu.: 0.001100 1st Qu.:-0.02510
#> Median : 0.008200 Median : 0.005900 Median : 0.006700 Median :-0.00320
#> Mean : 0.006717 Mean : 0.005582 Mean : 0.005728 Mean :-0.00126
#> 3rd Qu.: 0.019500 3rd Qu.: 0.011100 3rd Qu.: 0.013000 3rd Qu.: 0.01810
#> Max. : 0.074500 Max. : 0.047200 Max. : 0.039200 Max. : 0.24630
#> Funds of Funds
#> Min. :-0.070500
#> 1st Qu.:-0.003300
#> Median : 0.005200
#> Mean : 0.004512
#> 3rd Qu.: 0.012700
#> Max. : 0.066600
#cumulative index returns
tail(cumprod(1+edhec),1)
#> Convertible Arbitrage CTA Global Distressed Securities
#> 2021-05-31 5.208815 3.278012 6.989556
#> Emerging Markets Equity Market Neutral Event Driven
#> 2021-05-31 6.088353 3.517302 6.654019
#> Fixed Income Arbitrage Global Macro Long/Short Equity
#> 2021-05-31 3.580675 4.977817 6.673183
#> Merger Arbitrage Relative Value Short Selling Funds of Funds
#> 2021-05-31 5.011198 5.222248 0.5130537 3.601022