Estimates of Standard Errors for Risk and Performance Measures

Estimates of standard errors of popular risk and performance measures for asset or portfolio returns using methods as described in Chen and Martin (2021) .

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)