NEWS

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PeerPerformance 2.4.0

• Robustness (pre-submission audit): PSOCK clusters are now closed with on.exit() so workers are not leaked on error; processControl requires the count-like controls (nBoot, bBoot, nCore, minObs, minObsPi) to be whole numbers and rejects a bootstrap block length exceeding the sample size; within-group screening and cross-group screening now stop with a clear message on degenerate inputs (a single fund, an empty peer group)
• alphaScreening/alphaTesting now enforce minObs on the factor complete-case sample (factor NAs were previously ignored), and alphaTesting(screen_beta = TRUE, hac = TRUE) now returns the alpha component as a coefficient-by-fund matrix, consistent with the non-HAC path (the print method reports the alpha row)
• confint is now tested for all three ratios (pipos/pizero/pineg)
• Added a confint method for SCREENING objects: nonparametric peer (pairwise) bootstrap confidence intervals for the peer performance ratios (pipos/pizero/pineg)
• Added a reproducible Monte-Carlo validation script (system.file("scripts", "validation.R", package = "PeerPerformance")): checks the near-unbiasedness of pizero under the equal-performance null and the size/power of the modified Sharpe equality test
• Added a package vignette ("Luck-Corrected Peer Performance Analysis with PeerPerformance"), a pkgdown configuration, and a package CITATION entry
• Robustness: processControl now validates that scalar control values are single finite numbers / logicals; computePi checks the lambda length; targetPeerPerformance rejects non-whole funds; rollScreening validates by and only flags screen_beta for the alpha screen with factors; output fund names are preserved in as.data.frame and targetPeerPerformance
• Fixed a bug in sharpeScreening/msharpeScreening on unbalanced panels: the focal fund's returns were indexed with the first peer's missing-value mask (X[idx[, k], 1]) instead of the current pair's (X[idx[, k], k]), which could inject NAs and yield NaN p-values for some pairs (reported by GitHub user NenoJo)
• Added targetPeerPerformance() (contributed by Murilo Andre Peres Pereira): screens a selected subset of funds against the whole universe; a convenience wrapper over the cross-group screening (*Screening(X[, funds], Y = X))
• Added a summary method for SCREENING objects (contributed by Murilo Andre Peres Pereira): ranked table, distribution of the measure, win/loss counts and top funds
• Added rollScreening(): rolling-window screening returning the time series of cross-sectionally averaged ratios (per factor when screen_beta = TRUE), with a plot method -- the dynamic design of Ardia et al. (2022, 2023)
• plot on a cross-group screening omits the (within-group) percentile-rank diagonal; a single focal fund is shown as one stacked bar
• screen_beta can now also be set through control (e.g. control = list(screen_beta = TRUE)); the function argument still works and takes precedence
• Cross-group screening: alphaScreening, sharpeScreening and msharpeScreening gain a Y argument to screen each fund in X against a second peer group Y (a single focal fund versus a group is X a vector); columns of Y identical to the focal fund are excluded automatically
• Added as.data.frame method for SCREENING objects (tidy, one row per fund, or per fund/coefficient with screen_beta = TRUE)
• screen_beta = TRUE output now labels the coefficient rows (alpha + factor names), and exposureHeterogeneity() aggregates them into the factor exposure heterogeneity measure of Ardia et al. (2023), with a plot method
• Added print methods for the TESTING and SCREENING objects, and a plot method for the SCREENING object that reproduces the peer performance screening plot of Ardia and Boudt (2018)
• gammaPos and gammaNeg (default 0.4 and 0.6) are now exposed in the control list of the screening functions, controlling the one-sided thresholds used for the out- and underperformance counts
• Fixed the default number of bootstrap replications (nBoot = 499) when an empty control list is supplied
• Fixed the VAR(1) data-generating process in the optimal block-length routines (sharpeBlockSize, msharpeBlockSize): the lagged cross term in the second equation now uses the correct series
• sharpe() now counts observations with is.finite(), consistent with the other moment computations, when NA/NaN are present
• Moved run-time dependencies from Depends to Imports
• Documentation fixes (Sharpe 1994 reference, alphaTesting return values)

PeerPerformance 2.3.2 (2025-08-18)

• Several fixes in documentation and good practices

PeerPerformance 2.3.1 (2024-11-13)

• Doc fixed

PeerPerformance 2.3.0

• Doc fixed
• alphaScreening now also outputs the betas
• Bug in lambda resampling fixed

PeerPerformance 2.2.5 (2021-05-16)

• Doc fixed

PeerPerformance 2.2.3 (2021-04-21)

• url fixed

PeerPerformance 2.2.1 (2018-08-30)

• Switch to parallel package
• References updated

PeerPerformance 2.1.4

• Small fix in counting NA

PeerPerformance 2.1.3

• Documentation fixes

PeerPerformance 2.1.2 (2017-02-04)

• Documentation fixes

PeerPerformance 2.1.1 (2017-01-29)

• Documentation fixes
• First CRAN release

PeerPerformance 2.1.0

• 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 2.0.7

• 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
• Adjustment 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
• Function pizero and pi corrected

PeerPerformance 1-00.01

• First release
• Package includes (parallel) alpha and sharpe screening algorithms