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Testing the equality of modified Sharpe ratios

David Ardia & Kris Boudt

Résumé 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.
   
Mots-clés Bootstrap test; Hedge fund; Modified Sharpe ratio; Non-normal returns; Performance measurement
   
Citation Ardia, D., & Boudt, K. (2015). Testing the equality of modified Sharpe ratios. Finance Research Letters, 13, 97-104.
   
Type Article de périodique (Anglais)
Date de publication 2015
Nom du périodique Finance Research Letters
Volume 13
Pages 97-104
URL http://www.sciencedirect.com/science/article/pii/S1544612...
Liée au projet Implied returns and the choice of a mean-variance efficie...