Estimates of Standard Errors for Risk and Performance Measures.

RPESE

This package provides functions for computing standared error estimates for risk and performance measures of asset or portfolio returns.

Installation

You can install the stable version on R CRAN.

install.packages("RPESE", dependencies = TRUE)

You can install the development version from GitHub.

library(devtools)
devtools::install_github("AnthonyChristidis/RPESE")

Usage

# Sample Code
library(RPESE)
# Loading hedge fund data
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
                    "GM", "LS", "MA", "RV", "SS", "FoF")
# Computing the standard errors for the three influence functions based approaches
ES.out <- ES.SE(edhec, se.method = c("IFiid","IFcor","IFcorPW"),
                cleanOutliers = TRUE, 
                fitting.method = c("Exponential", "Gamma")[1])
# Print output
printSE(ES.out)

License

This package is free and open source software, licensed under GPL (>= 2).