PeerPerformance2.3.1 package

Luck-Corrected Peer Performance Analysis in R

alphaScreening

Screening using the alpha outperformance ratio

alphaTesting

Testing the difference of alpha outperformance ratios

msharpe

Compute modified Sharpe ratio

msharpeScreening

Screening using the modified Sharpe outperformance ratio

msharpeTesting

Testing the difference of modified Sharpe ratios

PeerPerformance

PeerPerformance: Luck-corrected peer performance analysis in R

sharpe

Compute Sharpe ratio

sharpeScreening

Screening using the Sharpe outperformance ratio

sharpeTesting

Testing the difference of Sharpe ratios

Download source packageRead PDF manual

Provides functions to perform the peer performance analysis of funds' returns as described in Ardia and Boudt (2018) <doi:10.1016/j.jbankfin.2017.10.014>.

  • Maintainer: David Ardia
  • License: GPL (>= 2)
  • Last published: 2024-11-13

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