An Improvement of the Sharpe-Ratio Test on Small Samples -- Mean-Variance Ratio Test
Northeast Normal University
National University of Singapore
Hong Kong Baptist University (HKBU)
January 30, 2009
To circumvent the limitations of the Sharpe-ratio statistic on testing small samples, we develop the mean-variance-ratio (MVR) statistic to test the performance among assets for small samples. We provide theoretical reasoning to use MVR and prove that our proposed statistic is uniformly most powerful unbiased.
Number of Pages in PDF File: 13
Keywords: Sharpe ratio, mean-variance ratio, test statistics, hypothesis testing, uniformly most powerful unbiased test
JEL Classification: C12, G11
Date posted: February 4, 2009 ; Last revised: February 7, 2009
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