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).

Please cite the package in publications!

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.
  2. You must place the following URL in a footnote to help others find 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.

Other references

Ardia, D., Boudt, K. (2015). Testing equality of modified Sharpe ratios.
Finance Research Letters, 13, 97-104.

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