EDHEC composite hedge fund style index returns.
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.”
see http://www.edhec-risk.com/about_us
CSV conformed into an xts object with monthly observations
http://www.edhec-risk.com/indexes/pure_style
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
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. :-0.054300 #> 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#cumulative index returns tail(cumprod(1+edhec),1)#> 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