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PeerPerformance

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.

Please cite the package in publications!

By using PeerPerformance you agree to the following rules:

You must cite Ardia and Boudt (2018) in working papers and published papers that use PeerPerformance.
You must place the following URL in a footnote to help others find PeerPerformance: https://CRAN.R-project.org/package=PeerPerformance
You assume all risk for the use of PeerPerformance.

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

Other references

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.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.