Changes in Version 2.3.1 (DA) o doc fixed Changes in Version 2.3.0 (DA,SL) o doc fixed o alphaScreening now also outputs the betas o bug in lambda resampling fixed Changes in Version 2.2.5 (DA) o doc fixed Changes in Version 2.2.3 (DA) o url fixed Changes in Version 2.2.1 (DA) o switch to parallel package o references updated Changes in Version 2.1.4 (DA) o small fix in counting NA Changes in Version 2.1.3 (DA) o documentation fixes Changes in Version 2.1.2 (DA) o documentation fixes Changes in Version 2.1.1 (DA) o documentation fixes o first CRAN release Changes in Version 2.1.00 (DA) o New PeerPerformance documentation o compiler imported directly within function Changes in version 2.0.11 (DA) o Examples added o Block length not exported anymore Changes in version 2.0.10 (DA) o Roxygen documentation o testthat added o format of code Changes in version 2.0.9 (DA) o Update CITATION and DESCRIPTION Changes in version 2.0.8 (DA) o Small improvements with compiler o Citations updated Changes in version 2.0.6 and 2.0.7 (DA) o Various improvements o Small fix in documentation Changes in Version 2.0.5 (DA) o Fix in documentation for modified Sharpe testing o Small fix in pvalue computation by bootstrap (symmetric) Changes in Version 2.0.4 (DA) o Bug fix for alpha screening when NA are in the dataset o Risk-free rate removed o Tstat used for attribution Changes in Version 2.0.3 (DA) o Major functions contain risk-free rates (zero by default) o Documentation updated o Adjustement factor robustified Changes in Version 2.0.2 (DA) o alphaScreening fixed o alphaScreening now encompasses hac estimation with sandwich and lmtest o citation file updated Changes in Version 2.0.1 (DA) o new package's name o new package's number o new package's structure Changes in Version 1-00.15 (DA) o pi+ fixed o default settings for lambda = NULL Changes in Version 1-00.14 (DA) o fix of errors in examples Changes in Version 1-00.13 (DA) o control parameters for lambda data driven (NULL) o documentation updated o function for optimal lambda corrected and enhanced o funcion pizero and pi corrected Changes in Version 1-00.12 (DA) o attribution proportions corrected o computation of pi0 now accounts for NA in pvalues (in msharpe with na.rm = FALSE) o new data set (randomized data) added Changes in Version 1-00.11 (DA) o functions for computing the standard deviation based on the delta rule are now coded outside and therefore accessible o optimal block length added for sharpe and modified sharpe with documentation Changes in Version 1-00.10 (DA) o bootstrap p-value consistent with Barras et al. o control ttype = 1, or = 2, indicating if based on ratio or product o control ptype = 1, or = 2, indicating of pvalue based on symmetric or asymmetric version of bootstrap o several speedup Changes in Version 1-00.09 (DA) o simplification of boostrap functions for Sharpe and modified Sharpe Changes in Version 1-00.08 (DA) o various fixes/improvements based on codetools package's outputs Changes in Version 1-00.07 (DA) o modified Sharpe ratio set to NA whenever the modified VaR is negative o function sharpe added o function msharpe added o other functions modified to rely on sharpe and msharpe functions o documentation modified with X instead of rdata o removed default values for subfunctions to avoid wrong defaults Changes in Version 1-00.06 (DA) o change of data; now using the reconstructed database of HFR Changes in Version 1-00.05 (DA) o hac estimator modified in mSharpe testing; now bounded to T Changes in Version 1-00.04 (DA) o modified Sharpe ratio testing and screening added o documentation modified Changes in Version 1-00.03 (DA) o circular bootstrap with user-defined block length added o boostrap relies on random integers instead of uniform numbers o documentation modified o enhancement of functions descriptions Changes in Version 1-00.02 (DA) o hac estimator added to sharpeTesting and sharpeScreening o hac studentized bootstrap estimator added to sharpeTesting and sharpeScreening o documentation modified o package and paper presented to the R/Finance conference 2012; see http://www.rinfinance.com/ Changes in Version 1-00.01 (DA) o first release o package includes (parallel) alpha and sharpe screening algorithms