PeerPerformance: Luck-Corrected Peer Performance Analysis in R
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>. For each fund, the package estimates
the proportion of peers it outperforms, is equalled by, and is outperformed
by, correcting for luck with the false discovery approach of Storey (2002)
<doi:10.1111/1467-9868.00346>. Screenings can be based on factor-model
alphas, Sharpe ratios, or modified Sharpe ratios, the latter using the
equality test of Ardia and Boudt (2015) <doi:10.1016/j.frl.2015.02.008>.
Funds can be screened within a universe or against a separate peer group,
over rolling windows, and results come with bootstrap confidence intervals,
summary, plot, and tidy data frame methods.
| Version: |
2.4.0 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
compiler, graphics, grDevices, lmtest, parallel, sandwich, stats |
| Suggests: |
knitr, rmarkdown, testthat |
| Published: |
2026-08-02 |
| DOI: |
10.32614/CRAN.package.PeerPerformance |
| Author: |
David Ardia  [aut,
cre, cph, fnd],
Nabil Bouamara [ctb],
Kris Boudt [aut],
Sebastien Legros [ctb],
Murilo Andre Peres Pereira
[ctb],
Benjamin Seguin [ctb] |
| Maintainer: |
David Ardia <david.ardia.ch at gmail.com> |
| BugReports: |
https://github.com/ArdiaD/PeerPerformance/issues |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| Copyright: |
see file COPYRIGHTS |
| URL: |
https://github.com/ArdiaD/PeerPerformance |
| NeedsCompilation: |
no |
| Citation: |
PeerPerformance citation info |
| Materials: |
NEWS |
| In views: |
Finance |
| CRAN checks: |
PeerPerformance results |
Documentation:
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