| Return.Geltner {PerformanceAnalytics} | R Documentation |
calculate Geltner liquidity-adjusted return series
Description
David Geltner developed a method to remove estimating or liquidity bias in real estate index returns. It has since been applied with success to other return series that show autocorrelation or illiquidity effects.
Usage
Return.Geltner(Ra, ...)
Arguments
Ra |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
... |
any other passthru parameters |
Details
The theory is that by correcting for autocorrelation, you are uncovering a "true" return from a series of observed returns that contain illiquidity or manual pricing effects.
The Geltner autocorrelation adjusted return series may be calculated via:
R_{G}=\frac{R_{t}-(R_{t-1}\cdot\rho_{1})}{1-\rho_{1}}
where \rho_{1} is the first-order autocorrelation of the
return series R_{a} and R_{t} is the return of
R_{a} at time t and R_{t-1} is the one-period
lagged return.
Author(s)
Brian Peterson
References
"Edhec Funds of Hedge Funds Reporting Survey : A Return-Based Approach to Funds of Hedge Funds Reporting",Edhec Risk and Asset Management Research Centre, January 2005,p. 27
Geltner, David, 1991, Smoothing in Appraisal-Based Returns, Journal of Real Estate Finance and Economics, Vol.4, p.327-345.
Geltner, David, 1993, Estimating Market Values from Appraised Values without Assuming an Efficient Market, Journal of Real Estate Research, Vol.8, p.325-345.
Examples
data(managers)
head(Return.Geltner(managers[,1:3]),n=20)