Results 201 to 210 of about 6,534 (244)
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Journal of Quantitative Economics, 2004
Sharpe ratio is a widely accepted tool for comparing the portfolio performance. In this paper we have proposed a nonparametric measure of the Sharpe rule. The statistical properties of this nonparametric measure and the standard Sharpe ratio are then developed under both normality and non-normality of observations.
Debasri Mukherjee, Aman Ullah
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Sharpe ratio is a widely accepted tool for comparing the portfolio performance. In this paper we have proposed a nonparametric measure of the Sharpe rule. The statistical properties of this nonparametric measure and the standard Sharpe ratio are then developed under both normality and non-normality of observations.
Debasri Mukherjee, Aman Ullah
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The Journal of Investing, 2005
Many researchers have advocated measuring market timing performance by measuring the extent to which fund realized investment weight-shift is consistent with the realized asset return. However, the weight-shift approach ignores the market timing risk, which comes from the variation in market return.
Hung, M.W., Jan, Y.
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Many researchers have advocated measuring market timing performance by measuring the extent to which fund realized investment weight-shift is consistent with the realized asset return. However, the weight-shift approach ignores the market timing risk, which comes from the variation in market return.
Hung, M.W., Jan, Y.
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The Statistics of Sharpe Ratios
Financial Analysts Journal, 2002The building blocks of the Sharpe ratio—expected returns and volatilities—are unknown quantities that must be estimated statistically and are, therefore, subject to estimation error. This raises the natural question: How accurately are Sharpe ratios measured?
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SSRN Electronic Journal, 2007
Investors often consider Sharpe ratios when making portfolio decisions. Given sampling error in estimated means and variances of returns, simplistic use of Sharpe ratios when choosing between portfolios is extremely ill-advised. In practice, the error in the estimate of the Sharpe ratio will almost certainly be too large to distinguish between the ...
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Investors often consider Sharpe ratios when making portfolio decisions. Given sampling error in estimated means and variances of returns, simplistic use of Sharpe ratios when choosing between portfolios is extremely ill-advised. In practice, the error in the estimate of the Sharpe ratio will almost certainly be too large to distinguish between the ...
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Sharpe Ratios, Target Ratios, and Return Goals
The Journal of Portfolio Management, 2020Some form of success estimation is present in virtually all decision-making processes. In most cases, estimations are implicit and judgmental. However, in certain data-rich areas, success prospects can be sharpened into probabilities. Although funds may settle for an expected return that equals some fixed target return, that match results in only a 50%
Martin L. Leibowitz, Stanley Kogelman
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Testing equality of modified Sharpe ratios
Finance Research Letters, 2014The 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.
Ardia, David, Boudt, Kris
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THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
Macroeconomic Dynamics, 2001We use a log-normal framework to examine the effect of preferences on the market price for risk, that is, the Sharpe ratio. In our framework, the Sharpe ratio can be calculated directly from the elasticity of the stochastic discount factor with respect to consumption innovations as well as the volatility of consumption innovations.
Lettau, Martin, Uhlig, Harald
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SSRN Electronic Journal, 2014
The Deflated Sharpe Ratio (DSR) corrects for two leading sources of performance inflation:* Non-Normally distributed returns.* Selection bias under multiple testing.
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The Deflated Sharpe Ratio (DSR) corrects for two leading sources of performance inflation:* Non-Normally distributed returns.* Selection bias under multiple testing.
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AN IMPROVED TEST OF THE SQUARED SHARPE RATIO
Probability in the Engineering and Informational Sciences, 2020AbstractThe sample squared Sharpe ratio (SSR) is a critical statistic of the risk-return tradeoff. We show that sensitive upper-tail probabilities arise when the sample SSR is employed to test the mean-variance efficiency under different test statistics.
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Statistical Inference for Sharpe Ratio
2010Sharpe ratios (Sharpe 1966) are the most popular risk-adjusted performance measure for investment portfolios and investment funds. Given a riskless security as a benchmark, its Sharpe ratio is defined by $$SR = \frac{{\mu - z}}{{\sqrt {{\sigma ^2}} }}$$ where μ and σ2 denote the portfolio’s mean return and return volatility, respectively, and z ...
Friedrich Schmid, Rafael Schmidt
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