PeerPerformance: PeerPerformance: Luck-corrected peer performance analysis in...

Description Functions Update Note Author(s) References

Description

PeerPerformance is an R package for the peer-performance evaluation of financial investments with luck-correction, useful in the financial industry. In particular, it implements the peer performance ratios of Ardia and Boudt (2016) which measure the percentage of peers a focal (hedge) 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, the package implements the testing framework for the Sharpe and modified Sharpe ratios, described in Ledoit and Wolf (2008) and Ardia and Boudt (2015).

Functions

Update

The latest version of the package is available at https://github.com/ArdiaD/PeerPerformance

Note

Full description of the methodologies implemented in the various functions is available in Ledoit and Wolf (2008) and Ardia and Boudt (2015, 2016).

Please cite the package in publications. Use citation("PeerPerformance").

Author(s)

David Ardia and Kris Boudt.

References

Ardia, D., Boudt, K. (2015). Testing equality of modified Sharpe ratios. Finance Research Letters 13, pp.97-104. doi: 10.1016/j.frl.2015.02.008

Ardia, D., Boudt, K. (2016). The peer performance ratios of hedge funds. Working paper. doi: 10.2139/ssrn.2000901

Barras, L., Scaillet, O., Wermers, R. (2010). False discoveries in mutual fund performance: Measuring luck in estimated alphas. Journal of Finance 65(1), pp.179-216. doi: 10.1111/j.1540-6261.2009.01527.x

Favre, L., Galeano, J.A. (2002). Mean-modified Value-at-Risk Optimization with Hedge Funds. Journal of Alternative Investments 5(2), pp.21-25. doi: 10.3905/jai.2002.319052

Gregoriou, G. N., Gueyie, J.-P. (2003). Risk-adjusted performance of funds of hedge funds using a modified Sharpe ratio. Journal of Wealth Management 6(3), pp.77-83.

Ledoit, O., Wolf, M. (2008). Robust performance hypothesis testing with the Sharpe ratio. Journal of Empirical Finance 15(5), pp.850-859. doi: 10.1016/j.jempfin.2008.03.002

Sharpe, W.F. (1994). The Sharpe ratio. Journal of Portfolio Management 21(1), pp.49-58. doi: 10.3905/jpm.1994.409501

Storey, J. (2002). A direct approach to false discovery rates. Journal of the Royal Statistical Society B 64(3), pp.479-498. doi: 10.1111/1467-9868.00346


ArdiaD/PeerPerformance documentation built on June 7, 2017, 10:44 a.m.