A post hoc test on the Sharpe ratio
Fuente:
arXiv
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| Format: | Preprint |
| Published: |
2019
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| _version_ | 1866910022359842816 |
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| author | Pav, Steven |
| author_facet | Pav, Steven |
| contents | We describe a post hoc test for the Sharpe ratio, analogous to Tukey's test for pairwise equality of means. The test can be applied after rejection of the hypothesis that all population Signal-Noise ratios are equal. The test is applicable under a simple correlation structure among asset returns. Simulations indicate the test maintains nominal type I rate under a wide range of conditions and is moderately powerful under reasonable alternatives. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_1911_04090 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | A post hoc test on the Sharpe ratio Pav, Steven Methodology Portfolio Management 91G70 G.3 We describe a post hoc test for the Sharpe ratio, analogous to Tukey's test for pairwise equality of means. The test can be applied after rejection of the hypothesis that all population Signal-Noise ratios are equal. The test is applicable under a simple correlation structure among asset returns. Simulations indicate the test maintains nominal type I rate under a wide range of conditions and is moderately powerful under reasonable alternatives. |
| title | A post hoc test on the Sharpe ratio |
| topic | Methodology Portfolio Management 91G70 G.3 |
| url | https://arxiv.org/abs/1911.04090 |