edhec
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:
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
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)
#summary period statistics
summary(edhec)
#cumulative index returns
tail(cumprod(1+edhec),1)
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