bdrift

bdrift-package


bdrift provides tools for analyzing and
visualizing beta drift in multi-factor models.


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.

bdrift-package: Analyzing Beta Drift

Description

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