Options
Testing the equality of modified Sharpe ratios
Auteur(s)
Boudt, Kris
Date de parution
2015
In
Finance Research Letters
No
13
De la page
97
A la page
104
Revu par les pairs
1
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.
Identifiants
Type de publication
journal article
Dossier(s) à télécharger
