{"id":21872182,"url":"https://github.com/ardiad/peerperformance","last_synced_at":"2025-08-21T20:33:17.342Z","repository":{"id":56934947,"uuid":"59834948","full_name":"ArdiaD/PeerPerformance","owner":"ArdiaD","description":"Set of functions to perform (financial) peer performance calculations","archived":false,"fork":false,"pushed_at":"2024-11-13T19:29:28.000Z","size":1009,"stargazers_count":12,"open_issues_count":3,"forks_count":3,"subscribers_count":7,"default_branch":"master","last_synced_at":"2024-12-18T12:42:32.727Z","etag":null,"topics":["alpha","finance","funds","performance-analysis","performance-metrics","screening","sharpe"],"latest_commit_sha":null,"homepage":null,"language":"R","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"gpl-2.0","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/ArdiaD.png","metadata":{"files":{"readme":"README.md","changelog":"NEWS","contributing":"CONTRIBUTING.md","funding":null,"license":"COPYING","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null}},"created_at":"2016-05-27T13:05:33.000Z","updated_at":"2024-11-13T19:29:32.000Z","dependencies_parsed_at":"2024-11-16T04:03:21.304Z","dependency_job_id":null,"html_url":"https://github.com/ArdiaD/PeerPerformance","commit_stats":{"total_commits":67,"total_committers":4,"mean_commits":16.75,"dds":0.4477611940298507,"last_synced_commit":"17da4d3d3fa6931aa798358254d22cfcc1a8bd8a"},"previous_names":[],"tags_count":0,"template":false,"template_full_name":null,"repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ArdiaD%2FPeerPerformance","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ArdiaD%2FPeerPerformance/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ArdiaD%2FPeerPerformance/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ArdiaD%2FPeerPerformance/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/ArdiaD","download_url":"https://codeload.github.com/ArdiaD/PeerPerformance/tar.gz/refs/heads/master","host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":230532448,"owners_count":18240792,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["alpha","finance","funds","performance-analysis","performance-metrics","screening","sharpe"],"created_at":"2024-11-28T06:19:28.303Z","updated_at":"2025-08-21T20:33:17.330Z","avatar_url":"https://github.com/ArdiaD.png","language":"R","funding_links":[],"categories":[],"sub_categories":[],"readme":"# PeerPerformance: Luck-Corrected Peer Performance Analysis in R\n\n`PeerPerformance` is an R package for the peer-performance evaluation of financial investments with\nluck-correction. In particular, it implements the peer performance ratios \nof [Ardia and Boudt (2018)](https://doi.org/10.1016/j.jbankfin.2017.10.014) which measure the percentage of peers a focal fund outperforms and underperforms, after\ncorrection for luck. It is useful for fund or portfolio managers to \nbenchmark their investments or screen a universe of new funds. \nIn addition, it implements the testing framework for the Sharpe and modified Sharpe ratios, described \nin [Ledoit and Wolf (2008)](https://doi.org/10.1016/j.jempfin.2008.03.002) \nand [Ardia and Boudt (2015)](https://doi.org/10.1016/j.frl.2015.02.008). See also Ardia et al. (2022,2023) for applications in sustainable finance.\n\n## Please cite the package in publications!\n\nBy using `PeerPerformance` you agree to the following rules: \n\n1) You must cite [Ardia and Boudt (2018)](https://doi.org/10.1016/j.jbankfin.2017.10.014) in working papers and published papers that use `PeerPerformance`.\n2) You must place the following URL in a footnote to help others find `PeerPerformance`: [https://CRAN.R-project.org/package=PeerPerformance](https://CRAN.R-project.org/package=PeerPerformance) \n3) You assume all risk for the use of `PeerPerformance`.\n\nArdia, D., Boudt, K. (2018).      \nThe peer performance ratios of hedge funds.      \n_Journal of Banking and Finance_, 87, 351-368.    \n[https://doi.org/10.1016/j.jbankfin.2017.10.014](https://doi.org/10.1016/j.jbankfin.2017.10.014)  \n[https://doi.org/10.2139/ssrn.2000901](https://doi.org/10.2139/ssrn.2000901)\n\n## Other references\n\nArdia, D., Boudt, K. (2015).\nTesting equality of modified Sharpe ratios.  \n_Finance Research Letters_, 13, 97-104.   \n[https://doi.org/10.1016/j.frl.2015.02.008](https://doi.org/10.1016/j.frl.2015.02.008)   \n[https://doi.org/10.2139/ssrn.2516591](https://doi.org/10.2139/ssrn.2516591)\n\nArdia, D., Bluteau, K., Tran, D. (2022).\nHow easy is it for investment managers to deploy their talent in green and brown stocks?\n_Finance Research Letters_, 48, 102992.\n[https://doi.org/10.1016/j.frl.2022.102992](https://doi.org/10.1016/j.frl.2022.102992)   \n[https://doi.org/10.2139/ssrn.4009286](https://doi.org/10.2139/ssrn.4009286)\n\nArdia, D., Bluteau, K., Lortie-Cloutier, G., Tran, D. (2023).\nFactor exposure heterogeneity in green and brown stocks.\n_Finance Research Letters_, 55, Part A, pp.103900.\n[https://doi.org/10.1016/j.frl.2023.103900](https://doi.org/10.1016/j.frl.2023.103900)   \n[https://doi.org/10.2139/ssrn.4362696](https://doi.org/10.2139/ssrn.4362696)\n\nLedoit, O., Wolf, M. (2008).   \nRobust performance hypothesis testing with the Sharpe ratio.    \n_Journal of Empirical Finance_, 15(5), 850-859.\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fardiad%2Fpeerperformance","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fardiad%2Fpeerperformance","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fardiad%2Fpeerperformance/lists"}