SmoothingIndex {PerformanceAnalytics} | R Documentation |
Proposed by Getmansky et al to provide a normalized measure of liquidity risk. The index will produces a number from zero to one. A low number indicates low liquidity risk. A number trending towards one indicates a higher liquidity risk.
SmoothingIndex(Ra, ...)
Ra |
a vector, matrix, data frame, timeSeries or zoo object of asset returns |
... |
any other passthru parameters |
a value ranging from 0 to 1 (not enforced in this function yet)
Peter Carl
Chan, Nicholas, Mila Getmansky, Shane M. Haas, and Andrew W. Lo. 2005. Systemic Risk and Hedge Funds. NBER Working Paper Series (11200). Getmansky, Mila, Andrew W. Lo, and Igor Makarov. 2004. An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns. Journal of Financial Economics (74): 529-609.
SmoothingIndex(managers[,8,drop=FALSE]) data(managers) data(edhec) indexes=merge(managers[,8:10],edhec) indexes=na.omit(indexes) sapply(indexes,FUN=SmoothingIndex)