title: 'PeerPerformance: Luck--corrected peer performance analysis in R' date: "2 February 2017" tags: - performance - peer - alpha - Sharpe - modified Sharpe - alpha - screening - false discovery rate authors: - affiliation: Institute of Financial Analysis - University of Neuch√Ętel name: David Ardia orcid: 0000-0003-2823-782X - affiliation: Solvay Business School - Vrije Universiteit Brussel name: Kris Boudt orcid: null

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PeerPerformance (Ardia and Boudt, 20xx) is an R package for the peer-performance evaluation of financial investments with luck-correction. In particular, it implements the peer performance ratios of Ardia and Boudt (2018) which measure the percentage of peers a focal fund outperforms and underperforms, after correction for luck. It is useful for fund or portfolio managers to benchmark their investments or screen a universe of new funds. In addition, it implements the testing framework for the Sharpe and modified Sharpe ratios, described in Ledoit and Wolf (2008) and Ardia and Boudt (2015).


To install the latest stable version of PeerPerformance, run the following commands in R:

R> install.packages("PeerPerformance")

To install the development version of PeerPerformance, run the following commands in R:

R> install.packages("devtools")

R> devtools::install_github("ArdiaD/PeerPerformance")

Then check the help of the various files and run the examples:

R> library("PeerPerformance")

R> ?PeerPerformance

Please cite PeerPerformance in publications:

R> citation("PeerPerformance")


Ardia, D., Boudt, K. (2015). Testing equality of modified Sharpe ratios. Finance Research Letters 13, pp.97-104.

Ardia, D., Boudt, K. (2018). The peer performance ratios of hedge funds_. Journal of Banking and Finance 87, pp.351-368.

Ardia, D., Boudt, K. (20xx). PeerPerformance: Luck-corrected peer performance analysis in R. R package.

Ledoit, O., Wolf, M. (2008). Robust performance hypothesis testing with the Sharpe ratio. Journal of Empirical Finance 15(5), pp.850-859.

ArdiaD/PeerPerformance documentation built on Aug. 30, 2018, 11:12 p.m.