Package: PeerPerformance 2.4.1

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>. For each fund, the package estimates the proportion of peers it outperforms, is equalled by, and is outperformed by, correcting for luck with the false discovery approach of Storey (2002) <doi:10.1111/1467-9868.00346>. Screenings can be based on factor-model alphas, Sharpe ratios, or modified Sharpe ratios, the latter using the equality test of Ardia and Boudt (2015) <doi:10.1016/j.frl.2015.02.008>. Funds can be screened within a universe or against a separate peer group, over rolling windows, and results come with peer-bootstrap intervals, summary, plot, and tidy data frame methods.

Authors:David Ardia [aut, cre, cph, fnd], Nabil Bouamara [ctb], Kris Boudt [aut], Sebastien Legros [ctb], Murilo Andre Peres Pereira [ctb], Benjamin Seguin [ctb]