edhec          package:PerformanceAnalytics          R Documentation

_E_D_H_E_C-_R_i_s_k _H_e_d_g_e _F_u_n_d _S_t_y_l_e _I_n_d_i_c_e_s

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

     EDHEC composite hedge fund style index returns.

     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 <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.

_U_s_a_g_e:

     edhec

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

     CSV conformed into a data.frame with monthly observations

_S_o_u_r_c_e:

     <URL: http://www.edhec-risk.com/indexes/pure_style>

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

     About EDHEC Alternative Indexes. December 16, 2003. EDHEC-Risk. 
      <URL: 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. 
      <URL:
     http://www.edhec-risk.com/site_edhecrisk/public/indexes/EDHEC_Publications/RISKReview1072705188065793513>

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

     data(edhec)

     #preview the data
     head(edhec)

     #summary period statistics
     summary(edhec)

     #cumulative index returns
     tail(cumprod.column(1+edhec),1)

