targetPeerPerformance: Targeted peer-performance screening for selected funds

In PeerPerformance: Luck-Corrected Peer Performance Analysis in R

Targeted peer-performance screening for selected funds

Description

Performs peer-performance screening for a user-selected subset of funds (the “focal” funds) against the whole universe, returning detailed outputs for those focal funds only. It is a convenience wrapper that calls the corresponding screening function with the cross-group argument Y set to the full matrix X; equivalently, targetPeerPerformance(X, funds, "alpha") is alphaScreening(X[, funds], Y = X).

Usage

targetPeerPerformance(
  X,
  funds,
  method = c("alpha", "sharpe", "msharpe"),
  factors = NULL,
  level = 0.9,
  na.neg = TRUE,
  control = list()
)

Arguments

X	Matrix (T \times N) of T returns for N funds. NA values are allowed.
funds	Integer indices or character column names identifying the focal funds. The output preserves the order provided in funds.
method	Screening method: "alpha" (default), "sharpe", or "msharpe".
factors	Optional matrix of factor returns (only when method = "alpha").
level	Modified Value-at-Risk level (only when method = "msharpe").
na.neg	Logical; return NA for a negative modified Value-at-Risk (only when method = "msharpe").
control	Control parameters (see alphaScreening).

Value

A SCREENING object (see alphaScreening) whose fund-level components (pizero, pipos, pineg, the performance measure, npeer, ...) cover the focal funds only, and whose pval/tstat/difference matrices have one row per focal fund and one column per universe fund. Works with the print, plot, summary, and as.data.frame methods.

Author(s)

Murilo Andre Peres Pereira, David Ardia and Kris Boudt.

See Also

alphaScreening, sharpeScreening, msharpeScreening.

Examples

data("hfdata")
rets <- hfdata[, 1:10]

## focal Sharpe screening (funds by index) against the whole universe
out <- targetPeerPerformance(rets, funds = c(2, 5, 7), method = "sharpe",
                             control = list(nCore = 1))
out$sharpe

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