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Quantitative Finance · Glossary

What is Peer group, peer-relative return?

Also known as: peer group · peer-relative return

Definition 10.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapter 10 — Cross-Sectional and Cross-Asset Features

A peer group of a security is a set of securities chosen to share its common drivers: its industry, its sector, or its nearest neighbours by return correlation or by business description. Its peer-relative return is its return minus the mean return of the other members of its group over the same period.

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