PeerPerformance (Ardia and Boudt, 20xx) 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).

The latest stable version of PeerPerformance is available at

The latest development version of PeerPerformance is available at

Please cite PeerPerformance in publications.

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

Ardia, D., Boudt, K. (2018).
The peer performance ratios of hedge funds_.
Journal of Banking and Finance 87, pp.351-368.

Ardia, D., Boudt, K. (20xx).
PeerPerformance: Luck-corrected peer performance analysis in R.
R package.

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