PeerPerformance {PeerPerformance}

PeerPerformance: Luck-corrected peer performance analysis in R

Description

PeerPerformance is an R package for the peer-performance evaluation of financial investments with luck-correction, useful in the financial industry. In particular, it implements the peer performance ratios of Ardia and Boudt (2018) which measure the percentage of peers a focal (hedge) 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, the package implements the testing framework for the Sharpe and modified Sharpe ratios, described in Ledoit and Wolf (2008) and Ardia and Boudt (2015).

Functions

• Sharpe ratio: sharpe, sharpeTesting and sharpeScreening;

• Modified Share ratio: msharpe, msharpeTesting and msharpeScreening;

• Screening function: alphaScreening, sharpeScreening and msharpeScreening.

Update

The latest version of the package is available at https://github.com/ArdiaD/PeerPerformance

Note

By using PeerPerformance you agree to the following rules: (1) You must cite Ardia and Boudt (2018) in working papers and published papers that use PeerPerformance (use citation("PeerPerformance")), (2) you must place the URL https://CRAN.R-project.org/package=PeerPerformance in a footnote to help others find PeerPerformance, and (3) you assume all risk for the use of PeerPerformance.

Full description of the methodologies implemented in the various functions is available in Ledoit and Wolf (2008) and Ardia and Boudt (2015, 2018).

Author(s)

David Ardia and Kris Boudt.

References

Ardia, D., Boudt, K. (2015). Testing equality of modified Sharpe ratios. Finance Research Letters 13, pp.97–104. doi: 10.1016/j.frl.2015.02.008

Ardia, D., Boudt, K. (2018). The peer performance ratios of hedge Funds. Journal of Banking and Finance 87, pp.351-.368. doi: 10.1016/j.jbankfin.2017.10.014

Barras, L., Scaillet, O., Wermers, R. (2010). False discoveries in mutual fund performance: Measuring luck in estimated alphas. Journal of Finance 65(1), pp.179–216.

Favre, L., Galeano, J.A. (2002). Mean-modified Value-at-Risk Optimization with Hedge Funds. Journal of Alternative Investments 5(2), pp.21–25.

Gregoriou, G. N., Gueyie, J.-P. (2003). Risk-adjusted performance of funds of hedge funds using a modified Sharpe ratio. Journal of Wealth Management 6(3), pp.77–83.

Ledoit, O., Wolf, M. (2008). Robust performance hypothesis testing with the Sharpe ratio. Journal of Empirical Finance 15(5), pp.850–859.

Sharpe, W.F. (1994). The Sharpe ratio. Journal of Portfolio Management 21(1), pp.49–58.

Storey, J. (2002). A direct approach to false discovery rates. Journal of the Royal Statistical Society B 64(3), pp.479–498.