Package: bdrift
Type: Package
Title: Beta Drift Analysis
Version: 1.1.7
Date: 2016-01-18
Authors@R: person("Markus Peter", "Auer", role = c("aut", "cre"),
                     email = "mp.auer@meanerreversion.com")
Maintainer: Markus Peter Auer <mp.auer@meanerreversion.com>
Description: 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.
Depends: R (>= 3.2.3), graphics, stats, xts, zoo
Imports: scales, tcltk, tcltk2
Suggests: quantmod
License: GPL-3
LazyData: yes
URL: http://github.com/MeanerReversion/bdrift
BugReports: http://github.com/MeanerReversion/bdrift/issues
RoxygenNote: 5.0.1
NeedsCompilation: no
Packaged: 2016-01-18 15:18:00 UTC; Markus
Author: Markus Peter Auer [aut, cre]
Repository: CRAN
Date/Publication: 2016-01-18 22:22:27
