NEWS
PeerPerformance 2.3.1
PeerPerformance 2.3.0
- doc fixed
- alphaScreening now also outputs the betas
- bug in lambda resampling fixed
PeerPerformance 2.2.5 (2021-05-16)
PeerPerformance 2.2.3 (2021-04-21)
PeerPerformance 2.2.1 (2018-08-30)
- switch to parallel package
- references updated
PeerPerformance 2.1.4
PeerPerformance 2.1.3
PeerPerformance 2.1.2 (2017-02-04)
PeerPerformance 2.1.1 (2017-01-29)
- documentation fixes
- first CRAN release
PeerPerformance 2.1.00
- New PeerPerformance documentation
- compiler imported directly within function
PeerPerformance 2.0.11
- Examples added
- Block length not exported anymore
PeerPerformance 2.0.10
- Roxygen documentation
- testthat added
- format of code
PeerPerformance 2.0.9
- Update CITATION and DESCRIPTION
PeerPerformance 2.0.8
- Small improvements with compiler
- Citations updated
PeerPerformance 2.0.6
- Various improvements
- Small fix in documentation
PeerPerformance 2.0.5
- Fix in documentation for modified Sharpe testing
- Small fix in pvalue computation by bootstrap (symmetric)
PeerPerformance 2.0.4
- Bug fix for alpha screening when NA are in the dataset
- Risk-free rate removed
- Tstat used for attribution
PeerPerformance 2.0.3
- Major functions contain risk-free rates (zero by default)
- Documentation updated
- Adjustement factor robustified
PeerPerformance 2.0.2
- alphaScreening fixed
- alphaScreening now encompasses hac estimation with sandwich and lmtest
- citation file updated
PeerPerformance 2.0.1
- new package's name
- new package's number
- new package's structure
PeerPerformance 1-00.15
- pi+ fixed
- default settings for lambda = NULL
PeerPerformance 1-00.14
- fix of errors in examples
PeerPerformance 1-00.13
- control parameters for lambda data driven (NULL)
- documentation updated
- function for optimal lambda corrected and enhanced
- funcion pizero and pi corrected
PeerPerformance 1-00.12
- attribution proportions corrected
- computation of pi0 now accounts for NA in pvalues (in msharpe with na.rm = FALSE)
- new data set (randomized data) added
PeerPerformance 1-00.11
- functions for computing the standard deviation based on the delta rule are now
coded outside and therefore accessible
- optimal block length added for sharpe and modified sharpe with documentation
PeerPerformance 1-00.10
- bootstrap p-value consistent with Barras et al.
- control ttype = 1, or = 2, indicating if based on ratio or product
- control ptype = 1, or = 2, indicating of pvalue based on symmetric or asymmetric version
of bootstrap
- several speedup
PeerPerformance 1-00.09
- simplification of boostrap functions for Sharpe and modified Sharpe
PeerPerformance 1-00.08
- various fixes/improvements based on codetools package's outputs
PeerPerformance 1-00.07
- modified Sharpe ratio set to NA whenever the modified VaR is negative
- function sharpe added
- function msharpe added
- other functions modified to rely on sharpe and msharpe functions
- documentation modified with X instead of rdata
- removed default values for subfunctions to avoid wrong defaults
PeerPerformance 1-00.06
- change of data; now using the reconstructed database of HFR
PeerPerformance 1-00.05
- hac estimator modified in mSharpe testing; now bounded to T
PeerPerformance 1-00.04
- modified Sharpe ratio testing and screening added
- documentation modified
PeerPerformance 1-00.03
- circular bootstrap with user-defined block length added
- boostrap relies on random integers instead of uniform numbers
- documentation modified
- enhancement of functions descriptions
PeerPerformance 1-00.02
- hac estimator added to sharpeTesting and sharpeScreening
- hac studentized bootstrap estimator added to sharpeTesting and sharpeScreening
- documentation modified
- package and paper presented to the R/Finance conference 2012; see http://www.rinfinance.com/
PeerPerformance 1-00.01
- first release
- package includes (parallel) alpha and sharpe screening algorithms