A post hoc test on the Sharpe ratio

Steven Pav

Papers from arXiv.org

Abstract: 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.

Date: 2019-11
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1911.04090

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