title	PeerPerformance: Luck--corrected peer performance analysis in R
date	2 February 2017
tags	performance peer alpha Sharpe modified Sharpe alpha screening false discovery rate
authors	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

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