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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).

About

This repository contains an R package that computes estimates of standard errors for various risk and performance measures using the methodology in Chen and Martin (2021) (https://www.risk.net/journal-of-risk/7729106/standard-errors-of-risk-and-performance-estimators-for-serially-dependent-returns).

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