Question
Can you please share the answer and the related R code for this question: For the Questionyou will use the dataset managers from thePerformanceAnalyticspackage in
Can you please share the answer and the related R code for this question:
For the Questionyou will use the dataset "managers" from thePerformanceAnalyticspackage in R. This dataset is already in XTS format andno further data cleaning is necessary.Please use this dataset as is andDO NOTimpute any null valueswith 0.Thedatasetbeginson1996-01-31and endon2006-12-31.Itcontains the following variables:
- HAM1-HAM6:Columns of monthly returns for six hypothetical asset managers
- EDHEC LS EQ:EDHEC Long-Short Equity hedge fund index
- SP500 TR:S&P 500 total returns
- US 10YR TR:Total return series for US Treasury 10-year bond
- US 3m TR:Total return series for US Treasury3-month bill
The dataset "managers" can be found by using the following code:
if(!require(PerformanceAnalytics))install.packages("PerformanceAnalytics")
library(PerformanceAnalytics)
data(managers)
Note: You may or may not need the following dependencies
lubridatepackage
Question:
Which manager had the highest Jensen's Alpha? (Hint: You can use the US 10 Year Treasury Bond as theRisk-FreeRate and the S&P 500 Data as the Market Return)
Answers given:
a. Hypothetical Manager 1
b. Hypothetical Manager 2
c. Hypothetical Manager 3
d. Hypothetical Manager 4
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