PeerPerformance 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).
Please cite the package in publications!
PeerPerformance you agree to the following rules:
- You must cite Ardia and Boudt (2018) in working papers and published papers that use
- You must place the following URL in a footnote to help others find
- You assume all risk for the use of
Ardia, D., Boudt, K. (2018).
The peer performance ratios of hedge funds.
Journal of Banking and Finance, 87, 351-368.
Ledoit, O., Wolf, M. (2008).
Robust performance hypothesis testing with the Sharpe ratio.
Journal of Empirical Finance, 15(5), 850-859.