PeerPerformance 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). See also Ardia et al. (2022,2023) for applications
in sustainable finance.
By using PeerPerformance you agree to the following
rules:
PeerPerformance.PeerPerformance: https://CRAN.R-project.org/package=PeerPerformancePeerPerformance.Ardia, D., Boudt, K. (2018).
The peer performance ratios of hedge funds.
Journal of Banking and Finance, 87, 351-368.
https://doi.org/10.1016/j.jbankfin.2017.10.014
https://doi.org/10.2139/ssrn.2000901
Ardia, D., Boudt, K. (2015). Testing equality of modified Sharpe
ratios.
Finance Research Letters, 13, 97-104.
https://doi.org/10.1016/j.frl.2015.02.008
https://doi.org/10.2139/ssrn.2516591
Ardia, D., Bluteau, K., Tran, D. (2022). How easy is it for
investment managers to deploy their talent in green and brown stocks?
Finance Research Letters, 48, 102992. https://doi.org/10.1016/j.frl.2022.102992
https://doi.org/10.2139/ssrn.4009286
Ardia, D., Bluteau, K., Lortie-Cloutier, G., Tran, D. (2023). Factor
exposure heterogeneity in green and brown stocks. Finance Research
Letters, 55, Part A, pp.103900. https://doi.org/10.1016/j.frl.2023.103900
https://doi.org/10.2139/ssrn.4362696
Ledoit, O., Wolf, M. (2008).
Robust performance hypothesis testing with the Sharpe ratio.
Journal of Empirical Finance, 15(5), 850-859.