Testing equality of modified Sharpe ratios

D. Ardia; K.M.R. Boudt

doi:10.1016/j.frl.2015.02.008

Testing equality of modified Sharpe ratios

D. Ardia, K.M.R. Boudt

Econometrics and Data Science

Research output: Contribution to Journal › Article › Academic › peer-review

Abstract

The modified Sharpe ratio is commonly used to evaluate the risk-adjusted performance of an investment with non-normal returns, such as hedge funds. In this note, a test for equality of modified Sharpe ratios of two investments is developed. A simulation study demonstrates the good size and power properties of the test. An application illustrates the complementarity between the Sharpe ratio and modified Sharpe ratio test for performance testing on hedge fund return data.

Original language	English
Pages (from-to)	97-104
Journal	Finance Research Letters
Volume	13
Issue number	May
DOIs	https://doi.org/10.1016/j.frl.2015.02.008
Publication status	Published - 2015

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

Access to Document

10.1016/j.frl.2015.02.008

Persistent URL (handle)

Persistent link

Cite this

@article{97cc7a72ca634082a572c7f9ca662e20,

title = "Testing equality of modified Sharpe ratios",

abstract = "The modified Sharpe ratio is commonly used to evaluate the risk-adjusted performance of an investment with non-normal returns, such as hedge funds. In this note, a test for equality of modified Sharpe ratios of two investments is developed. A simulation study demonstrates the good size and power properties of the test. An application illustrates the complementarity between the Sharpe ratio and modified Sharpe ratio test for performance testing on hedge fund return data.",

author = "D. Ardia and K.M.R. Boudt",

year = "2015",

doi = "10.1016/j.frl.2015.02.008",

language = "English",

volume = "13",

pages = "97--104",

journal = "Finance Research Letters",

issn = "1544-6123",

publisher = "Elsevier B.V.",

number = "May",

}

TY - JOUR

T1 - Testing equality of modified Sharpe ratios

AU - Ardia, D.

AU - Boudt, K.M.R.

PY - 2015

Y1 - 2015

N2 - The modified Sharpe ratio is commonly used to evaluate the risk-adjusted performance of an investment with non-normal returns, such as hedge funds. In this note, a test for equality of modified Sharpe ratios of two investments is developed. A simulation study demonstrates the good size and power properties of the test. An application illustrates the complementarity between the Sharpe ratio and modified Sharpe ratio test for performance testing on hedge fund return data.

AB - The modified Sharpe ratio is commonly used to evaluate the risk-adjusted performance of an investment with non-normal returns, such as hedge funds. In this note, a test for equality of modified Sharpe ratios of two investments is developed. A simulation study demonstrates the good size and power properties of the test. An application illustrates the complementarity between the Sharpe ratio and modified Sharpe ratio test for performance testing on hedge fund return data.

U2 - 10.1016/j.frl.2015.02.008

DO - 10.1016/j.frl.2015.02.008

M3 - Article

SN - 1544-6123

VL - 13

SP - 97

EP - 104

JO - Finance Research Letters

JF - Finance Research Letters

IS - May

ER -

Testing equality of modified Sharpe ratios

Abstract

UN SDGs

Access to Document

Persistent URL (handle)

Fingerprint

Cite this