PeerPerformance: Peer performance analysis in R

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This package provides functions to perform the peer performance analysis of funds' returns.

Author
David Ardia and Kris Boudt
Date of publication
2015-10-22 23:55:43
Maintainer
David Ardia <david.ardia@fsa.ulaval.ca>
License
GPL (>=2)
Version
2.0.8

View on R-Forge

Man pages

alphaScreening
Screening using the Alpha outperformance ratio
hfdata
Hedge-fund data
msharpe
Compute Modified Sharpe ratio
msharpeBlockSize
Optimal block length for bootstrap test of difference of...
msharpeScreening
Screening using the modified Sharpe outperformance ratio
msharpeTesting
Testing the difference of modified Sharpe ratios
sharpe
Compute Sharpe ratio
sharpeBlockSize
Optimal block length for bootstrap test of difference of...
sharpeScreening
Screening using the Sharpe outperformance ratio
sharpeTesting
Testing the difference of Sharpe ratios

Files in this package

PeerPerformance/COPYING
PeerPerformance/DESCRIPTION
PeerPerformance/NAMESPACE
PeerPerformance/NEWS
PeerPerformance/R
PeerPerformance/R/alphaScreening.R
PeerPerformance/R/computePi.R
PeerPerformance/R/functions.R
PeerPerformance/R/msharpeBlockSize.R
PeerPerformance/R/msharpeScreening.R
PeerPerformance/R/msharpeTesting.R
PeerPerformance/R/sharpeBlockSize.R
PeerPerformance/R/sharpeScreening.R
PeerPerformance/R/sharpeTesting.R
PeerPerformance/README
PeerPerformance/data
PeerPerformance/data/hfdata.rdata
PeerPerformance/inst
PeerPerformance/inst/CITATION
PeerPerformance/inst/COPYRIGHTS
PeerPerformance/inst/doc
PeerPerformance/inst/doc/ThePeerPerformanceOfHedgeFunds.txt
PeerPerformance/man
PeerPerformance/man/alphaScreening.Rd
PeerPerformance/man/hfdata.Rd
PeerPerformance/man/msharpe.Rd
PeerPerformance/man/msharpeBlockSize.Rd
PeerPerformance/man/msharpeScreening.Rd
PeerPerformance/man/msharpeTesting.Rd
PeerPerformance/man/sharpe.Rd
PeerPerformance/man/sharpeBlockSize.Rd
PeerPerformance/man/sharpeScreening.Rd
PeerPerformance/man/sharpeTesting.Rd