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.
managers
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.
CSV conformed into an xts object with monthly observations
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#summary period statistics summary(managers)#> Index HAM1 HAM2 #> Min. :1996-01-31 Min. :-0.094400 Min. :-0.03710 #> 1st Qu.:1998-10-23 1st Qu.:-0.000025 1st Qu.:-0.00980 #> Median :2001-07-15 Median : 0.011150 Median : 0.00820 #> Mean :2001-07-15 Mean : 0.011123 Mean : 0.01414 #> 3rd Qu.:2004-04-07 3rd Qu.: 0.024850 3rd Qu.: 0.02520 #> Max. :2006-12-31 Max. : 0.069200 Max. : 0.15560 #> NA's :7 #> HAM3 HAM4 HAM5 HAM6 #> Min. :-0.071800 Min. :-0.17590 Min. :-0.13200 Min. :-0.04040 #> 1st Qu.:-0.005375 1st Qu.:-0.01985 1st Qu.:-0.01640 1st Qu.:-0.00158 #> Median : 0.010200 Median : 0.01375 Median : 0.00380 Median : 0.01285 #> Mean : 0.012447 Mean : 0.01102 Mean : 0.00409 Mean : 0.01105 #> 3rd Qu.: 0.031375 3rd Qu.: 0.04600 3rd Qu.: 0.03090 3rd Qu.: 0.02548 #> Max. : 0.179600 Max. : 0.15080 Max. : 0.17470 Max. : 0.05830 #> NA's :55 NA's :68 #> EDHEC LS EQ SP500 TR US 10Y TR US 3m TR #> Min. :-0.055200 Min. :-0.144600 Min. :-0.070920 Min. :0.000660 #> 1st Qu.:-0.003175 1st Qu.:-0.017327 1st Qu.:-0.008515 1st Qu.:0.001570 #> Median : 0.011000 Median : 0.010950 Median : 0.004425 Median :0.003845 #> Mean : 0.009545 Mean : 0.008665 Mean : 0.004385 Mean :0.003226 #> 3rd Qu.: 0.021450 3rd Qu.: 0.038025 3rd Qu.: 0.016660 3rd Qu.:0.004395 #> Max. : 0.074500 Max. : 0.097800 Max. : 0.050550 Max. :0.006580 #> NA's :12#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