{"repo":"ArdiaD/PeerPerformance","free":true,"listed":false,"github":"https://github.com/ArdiaD/PeerPerformance","clone":"git clone https://github.com/ArdiaD/PeerPerformance.git","description":"Set of functions to perform (financial) peer performance calculations","language":"R","stars":13,"topics":["performance-analysis","performance-metrics","alpha","sharpe","screening","funds","finance"],"license":null,"category":"trading","readme_excerpt":"PeerPerformance: Luck-Corrected Peer Performance Analysis in R PeerPerformance 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). See also Ardia et al. (2022,2023) for applications in sustainable finance. Installation The stable version is on CRAN: The development version can be installed from GitHub: Features - Peer performance screening of a fund universe with luck correction: alphaScreening() (risk-adjusted alphas, optionally with factor exposures via screen beta = TRUE ), sharpeScreening() and msharpeScreening() (Sharpe / modified Sharpe). Each returns the out-/equal-/under-performance ratios (pi+, pi0, pi-). - Cross-group screening : the Y argument screens each fund (or a single focal fund) against a separate peer group; targetPeerPerformance() is a convenience wrapper for screening a chosen subset against the whole universe. - Pairwise testing : alphaTesting() , sharpeTesting() , msharpeTesting() . - Methods for screening results: print() , summary() , plot() (the Ardia and","default_branch":null,"files":null,"tree":[],"storefront":"/r/ArdiaD","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/ArdiaD/PeerPerformance/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}