plot.SCREENING: Peer performance screening plot

In PeerPerformance: Luck-Corrected Peer Performance Analysis in R

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 class 'SCREENING'
plot(
  x,
  nblock = NULL,
  reference = NULL,
  band = 27.5,
  colorset = c(grDevices::gray(0), grDevices::gray(0.8), grDevices::gray(0.5)),
  ...
)

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.

Details

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

Value

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

Author(s)

David Ardia and Kris Boudt.

References

Ardia, D., Boudt, K. (2018). The peer performance ratios of hedge funds. Journal of Banking and Finance 87, pp.351–368. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.jbankfin.2017.10.014")}

See Also

alphaScreening, sharpeScreening and msharpeScreening.

Examples

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

PeerPerformance documentation built on Aug. 3, 2026, 1:08 a.m.