Overview | Alpha peer performance screening | Sharpe and modified Sharpe ratios | Comparing a fund (or group) against a separate peer group | Control parameters | References
Package: PeerPerformance 2.4.0
PeerPerformance: Luck-Corrected Peer Performance Analysis in R
Provides functions to perform the peer performance analysis of funds' returns as described in Ardia and Boudt (2018) <doi:10.1016/j.jbankfin.2017.10.014>.
Authors:
PeerPerformance_2.4.0.tar.gz
PeerPerformance_2.4.0.zip(r-4.7)PeerPerformance_2.4.0.zip(r-4.6)PeerPerformance_2.4.0.zip(r-4.5)
PeerPerformance_2.4.0.tgz(r-4.6-any)PeerPerformance_2.4.0.tgz(r-4.5-any)
PeerPerformance_2.4.0.tar.gz(r-4.7-any)PeerPerformance_2.4.0.tar.gz(r-4.6-any)
PeerPerformance_2.4.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
PeerPerformance/json (API)
| # Install 'PeerPerformance' in R: |
| install.packages('PeerPerformance', repos = c('https://ardiad.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/ardiad/peerperformance/issues
Datasets:
- hfdata - Hedge fund data
alphafinancefundsperformance-analysisperformance-metricsscreeningsharpe
Last updated from:aa3c956004. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 329 | ||
| source / vignettes | OK | 189 | ||
| linux-release-x86_64 | OK | 382 | ||
| macos-release-arm64 | OK | 200 | ||
| macos-oldrel-arm64 | OK | 270 | ||
| windows-devel | OK | 320 | ||
| windows-release | OK | 381 | ||
| windows-oldrel | OK | 343 | ||
| wasm-release | OK | 107 |
Exports:alphaScreeningalphaTestingexposureHeterogeneitymsharpemsharpeScreeningmsharpeTestingrollScreeningsharpesharpeScreeningsharpeTestingtargetPeerPerformance
