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PeerPerformance (version 2.3.2)

Luck-Corrected Peer Performance Analysis in R

Description

Provides functions to perform the peer performance analysis of funds' returns as described in Ardia and Boudt (2018) .

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Install

install.packages('PeerPerformance')

Monthly Downloads

646

Version

2.3.2

License

GPL (>= 2)

Issues

0

Pull Requests

1

Stars

12

Forks

4

Maintainer

David Ardia

Last Published

August 18th, 2025

Functions in PeerPerformance (2.3.2)

msharpeTesting

Testing the difference of modified Sharpe ratios
PeerPerformance

PeerPerformance: Luck-corrected peer performance analysis in R
sharpe

Compute Sharpe ratio
msharpe

Compute modified Sharpe ratio
alphaScreening

Screening using the alpha outperformance ratio
alphaTesting

Testing the difference of alpha outperformance ratios
msharpeScreening

Screening using the modified Sharpe outperformance ratio
sharpeScreening

Screening using the Sharpe outperformance ratio
hfdata

Hedge fund data
sharpeTesting

Testing the difference of Sharpe ratios