PeerPerformance (version 2.4.0)

plot.SCREENING: Peer performance screening plot

Description

Plot method for the SCREENING object returned by alphaScreening, sharpeScreening and msharpeScreening. It reproduces the peer performance screening plot of Ardia and Boudt (2018): funds are sorted by their performance measure and, for each fund, the estimated outperformance (\(\hat\pi^+\)), equal-performance (\(\hat\pi^0\)) and underperformance (\(\hat\pi^-\)) ratios are displayed as a horizontal stacked bar. The dashed diagonal lines depict the naive percentile-rank benchmark (\(\hat\pi^0 = 0\)); the gap between the black \(\hat\pi^+\) area and the diagonal visualizes the luck correction.

Usage

# S3 method for SCREENING
plot(
  x,
  nblock = NULL,
  reference = NULL,
  band = 27.5,
  colorset = c(grDevices::gray(0), grDevices::gray(0.8), grDevices::gray(0.5)),
  ...
)

Value

Invisibly returns the (sorted, possibly aggregated) matrix of ratios that is plotted.

Arguments

x

A SCREENING object.

nblock

Optional number of equally-sized blocks into which the funds (sorted by performance) are aggregated by averaging, as in Ardia and Boudt (2018). Default: nblock = NULL, i.e. one bar per fund.

reference

A logical value indicating whether the dashed percentile-rank reference lines should be drawn. Default: reference = NULL, i.e. drawn for within-group screening and omitted for cross-group (Y-based) screening, where the within-group percentile-rank benchmark does not apply. A single focal fund (cross-group with one fund in X) is shown as a single stacked bar.

band

Half-width (in percentage points) of the reference band drawn around the central diagonal. Default: band = 27.5.

colorset

Vector of three colors for the \(\hat\pi^+\), \(\hat\pi^0\) and \(\hat\pi^-\) areas. Default: c(gray(0), gray(0.8), gray(0.5)).

...

Further graphical arguments passed to barplot.

Author

David Ardia and Kris Boudt.

Details

If the screening was run with screen_beta = TRUE, the alpha (first) coefficient is used.

References

Ardia, D., Boudt, K. (2018). The peer performance ratios of hedge funds. Journal of Banking and Finance 87, pp.351--368. tools:::Rd_expr_doi("10.1016/j.jbankfin.2017.10.014")

See Also

alphaScreening, sharpeScreening and msharpeScreening.

Examples

# \donttest{
data("hfdata")
set.seed(1234)
sc <- alphaScreening(hfdata[, 1:30], control = list(nCore = 1))
plot(sc)
# }