PeerPerformance (version 2.4.0)
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)
. For each fund, the package estimates
the proportion of peers it outperforms, is equalled by, and is outperformed
by, correcting for luck with the false discovery approach of Storey (2002)
. Screenings can be based on factor-model
alphas, Sharpe ratios, or modified Sharpe ratios, the latter using the
equality test of Ardia and Boudt (2015) .
Funds can be screened within a universe or against a separate peer group,
over rolling windows, and results come with bootstrap confidence intervals,
summary, plot, and tidy data frame methods.