In our pre-conference workshop, Brian Peterson and I worked with the EDHEC hedge fund indexes as a way to demonstrate how to use PortfolioAnalytics within the context of long-term allocation problems.
Although they are not investible, these indexes are probably more representative than most given that they are, in fact, meta-indexes. Other indexes might be preferable when considering a specific portfolio, however.
Here’s how to parse the data. Unfortunately, there’s no good way to download the data directly (as far as I can figure), so you’ll have to have to log in (registration is free) and download the data manually. The code shown here only requires PerformanceAnalytics.
Here’s a parser for once you have the
history.csv file in a local directory.