https://github.com/ardiad/peerperformance
Set of functions to perform (financial) peer performance calculations
https://github.com/ardiad/peerperformance
alpha finance funds performance-analysis performance-metrics screening sharpe
Last synced: 10 months ago
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Set of functions to perform (financial) peer performance calculations
- Host: GitHub
- URL: https://github.com/ardiad/peerperformance
- Owner: ArdiaD
- License: gpl-2.0
- Created: 2016-05-27T13:05:33.000Z (about 10 years ago)
- Default Branch: master
- Last Pushed: 2024-11-13T19:29:28.000Z (over 1 year ago)
- Last Synced: 2024-12-18T12:42:32.727Z (over 1 year ago)
- Topics: alpha, finance, funds, performance-analysis, performance-metrics, screening, sharpe
- Language: R
- Size: 985 KB
- Stars: 12
- Watchers: 7
- Forks: 3
- Open Issues: 3
-
Metadata Files:
- Readme: README.md
- Changelog: NEWS
- Contributing: CONTRIBUTING.md
- License: COPYING
Awesome Lists containing this project
README
# 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)](https://doi.org/10.1016/j.jbankfin.2017.10.014) 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)](https://doi.org/10.1016/j.jempfin.2008.03.002)
and [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.
## Please cite the package in publications!
By using `PeerPerformance` you agree to the following rules:
1) 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`.
2) 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)
3) You assume all risk for the use of `PeerPerformance`.
Ardia, D., Boudt, K. (2018).
The peer performance ratios of hedge funds.
_Journal of Banking and Finance_, 87, 351-368.
[https://doi.org/10.1016/j.jbankfin.2017.10.014](https://doi.org/10.1016/j.jbankfin.2017.10.014)
[https://doi.org/10.2139/ssrn.2000901](https://doi.org/10.2139/ssrn.2000901)
## Other references
Ardia, D., Boudt, K. (2015).
Testing equality of modified Sharpe ratios.
_Finance Research Letters_, 13, 97-104.
[https://doi.org/10.1016/j.frl.2015.02.008](https://doi.org/10.1016/j.frl.2015.02.008)
[https://doi.org/10.2139/ssrn.2516591](https://doi.org/10.2139/ssrn.2516591)
Ardia, D., Bluteau, K., Tran, D. (2022).
How easy is it for investment managers to deploy their talent in green and brown stocks?
_Finance Research Letters_, 48, 102992.
[https://doi.org/10.1016/j.frl.2022.102992](https://doi.org/10.1016/j.frl.2022.102992)
[https://doi.org/10.2139/ssrn.4009286](https://doi.org/10.2139/ssrn.4009286)
Ardia, D., Bluteau, K., Lortie-Cloutier, G., Tran, D. (2023).
Factor exposure heterogeneity in green and brown stocks.
_Finance Research Letters_, 55, Part A, pp.103900.
[https://doi.org/10.1016/j.frl.2023.103900](https://doi.org/10.1016/j.frl.2023.103900)
[https://doi.org/10.2139/ssrn.4362696](https://doi.org/10.2139/ssrn.4362696)
Ledoit, O., Wolf, M. (2008).
Robust performance hypothesis testing with the Sharpe ratio.
_Journal of Empirical Finance_, 15(5), 850-859.