FFfactors

A dataset containing simple daily returns of ExxonMobile,
BlackRock's Large Cap Core Inv A fund, and Vanguard 500 ETF fund
as well as all necessary factor data from Kenneth French's data library to estimate
a five-factor model. The dataset contains data from Sep-09-2010 until Nov-30-2015.

datasets

Beta drift poses a serious challenge to asset managers
and financial researchers. Beta drift causes problems in asset
pricing models and can have serious ramifications for hedging
attempts. Providing users with a tool that allows them to
quantify beta drift and form educated opinions about it is
the primary purpose of this package.
This package contains the BDA() function that performs a beta
drift analysis, typically for multi-factor asset pricing models.
The BDA() function tests the underlying model parameters for
drift across time, drift across model horizon, and applies a
jackknife procedure to the baseline model. This allows the users
to draw conclusions about the stability of model parameters or
make inferences about the behavior of funds. For example, the
drift of parameters for active funds could be interpreted as
implicit style drift or, in the case of passive funds, management's
inability to track a benchmark completely.

Markus Peter Auer

bdrift

Beta Drift Analysis

FFfactors function

<code>XOM</code>, <code>MDLRX</code>, <code>VOO</code>, and <code>SP500</code> was
retrieved rom Yahoo Finance via <code><a href="/link/getSymbols?package=bdrift&version=1.2.2&to=quantmod" rd-options="quantmod" data-mini-rdoc="quantmod::getSymbols">getSymbols</a></code>
from the <code><a href="/link/quantmod?package=bdrift&version=1.2.2&to=quantmod" rd-options="quantmod" data-mini-rdoc="quantmod::quantmod">quantmod</a></code> package.
All other factors were retrieved from Kenneth French's data library
<em>Kenneth French's data library</em> at <url>http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html</url>.
<code>RF</code> was originally provided by Ibbotson Associates.

FFfactors: Dataset to Estimate Multi-Factor Models for Return Samples

Description

Usage

Arguments

source

References