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) . 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) . 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) . 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.