Set of functions to perform (financial) peer performance calculations
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title date tags authors
PeerPerformance: Luck--corrected peer performance analysis in R
2 February 2017
performance
peer
alpha
Sharpe
modified Sharpe
alpha
screening
false discovery rate
affiliation name orcid
Institute of Financial Analysis - University of Neuchâtel
David Ardia
0000-0003-2823-782X
affiliation name orcid
Solvay Business School - Vrije Universiteit Brussel
Kris Boudt

CRAN Downloads Downloads Pending Pull-Requests Github Issues

PeerPerformance

PeerPerformance (Ardia and Boudt, 20xx) is an R package for the peer-performance evaluation of financial investments with luck-correction. In particular, it implements the peer performance ratios of Ardia and Boudt (2018) which measure the percentage of peers a focal fund outperforms and underperforms, after correction for luck. It is useful for fund or portfolio managers to benchmark their investments or screen a universe of new funds. In addition, it implements the testing framework for the Sharpe and modified Sharpe ratios, described in Ledoit and Wolf (2008) and Ardia and Boudt (2015).

Installation

To install the latest stable version of PeerPerformance, run the following commands in R:

R> install.packages("PeerPerformance")

To install the development version of PeerPerformance, run the following commands in R:

R> install.packages("devtools")

R> devtools::install_github("ArdiaD/PeerPerformance")

Then check the help of the various files and run the examples:

R> library("PeerPerformance")

R> ?PeerPerformance

Please cite PeerPerformance in publications:

R> citation("PeerPerformance")

References

Ardia, D., Boudt, K. (2015). Testing equality of modified Sharpe ratios.
Finance Research Letters 13, pp.97-104.
http://dx.doi.org/10.1016/j.frl.2015.02.008
http://dx.doi.org/10.2139/ssrn.2516591

Ardia, D., Boudt, K. (2018).
The peer performance ratios of hedge funds_.
Journal of Banking and Finance 87, pp.351-368.
http://dx.doi.org/10.1016/j.jbankfin.2017.10.014
http://dx.doi.org/10.2139/ssrn.2000901

Ardia, D., Boudt, K. (20xx).
PeerPerformance: Luck-corrected peer performance analysis in R.
R package.
https://github.com/ArdiaD/PeerPerformance

Ledoit, O., Wolf, M. (2008).
Robust performance hypothesis testing with the Sharpe ratio.
Journal of Empirical Finance 15(5), pp.850-859.
http://dx.doi.org/10.1016/j.jempfin.2008.03.002