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Hypothetical Alternative Asset Manager and Benchmark Data

managers.Rd

A xts object 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. Note that all the EDHEC indices are available in edhec.

Usage

managers

Details

Please note that the `managers' data set included with PerformanceAnalytics will be periodically updated with new managers and information. If you intend to use this data set in automated tests, please be sure to subset your data like managers[1:120,1:6] to use the first ten years of observations on HAM1-HAM6.

Format

CSV conformed into an xts object with monthly observations

Examples

data(managers)
#preview the data
head(managers)
#>               HAM1 HAM2    HAM3    HAM4 HAM5 HAM6 EDHEC LS EQ SP500 TR
#> 1996-01-31  0.0074   NA  0.0349  0.0222   NA   NA          NA   0.0340
#> 1996-02-29  0.0193   NA  0.0351  0.0195   NA   NA          NA   0.0093
#> 1996-03-31  0.0155   NA  0.0258 -0.0098   NA   NA          NA   0.0096
#> 1996-04-30 -0.0091   NA  0.0449  0.0236   NA   NA          NA   0.0147
#> 1996-05-31  0.0076   NA  0.0353  0.0028   NA   NA          NA   0.0258
#> 1996-06-30 -0.0039   NA -0.0303 -0.0019   NA   NA          NA   0.0038
#>            US 10Y TR US 3m TR
#> 1996-01-31   0.00380  0.00456
#> 1996-02-29  -0.03532  0.00398
#> 1996-03-31  -0.01057  0.00371
#> 1996-04-30  -0.01739  0.00428
#> 1996-05-31  -0.00543  0.00443
#> 1996-06-30   0.01507  0.00412
#cumulative returns
tail(cumprod(1+managers),1)
#>                HAM1 HAM2     HAM3    HAM4 HAM5 HAM6 EDHEC LS EQ SP500 TR
#> 2006-12-31 4.126671   NA 4.706732 3.52944   NA   NA          NA 2.761619
#>            US 10Y TR US 3m TR
#> 2006-12-31  1.734037 1.529681