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@emcor I would suggest downloading the Stock's daily Prices & then downloading Shares Outstanding or average shares outstanding. Then find the product of the two to arrive at market caps. I don't know how reliable quandl's data is or if they have shares outstanding data, but if they do this can probably be done using R code since you will be downloading ...


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I am not familiar with indexes for private equity or venture capital. For hedge funds, there are various indexes, with the best-regarded ones provided by HFR. They include an investable index. I happen to believe these indexes, even the investable one, are of very limited use at best. Many hedge funds are closed, meaning they are not taking in new money. ...


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I don't do TRI, so I may be wide of the mark, but: Euribor is not an instrument. It originated as a fixing to reflect the cost of borrowing for a term (here 3m) in the interbank market. But it is not an instrument, so there is no return to reinvest, nor an instrument to reinvest in. Instruments that do depend on 3m Euribor are FRAs, Futures, IRS, and then ...


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All the Fama-French data is downloadable here: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html and in particular, daily RMRF, SMB and HML data can be downloaded here: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Research_Data_Factors_daily.zip


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You can't really combine the assets' log returns. You should calculate percentage returns for the three assets. Then at each time step, the portfolio's total return is: $r(i) = 0.5 \times \text{asset1_return}(i) + 0.25 \times \text{asset2_return}(i) + 0.25 \times \text{asset3_return}(i)$ Once you've calculated the time series of the portfolio's returns, ...


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I think you're better off identifying the strategy they are using and try to find an index that matches. However the Dollar Index (http://en.wikipedia.org/wiki/U.S._Dollar_Index) shows dollar performance with respect to a basket of 6 currencies - perhaps of some use USD is your base currency.



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