Abstract

http://ssrn.com/abstract=1336898
 
 

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An Improvement of the Sharpe-Ratio Test on Small Samples -- Mean-Variance Ratio Test


Zhidong Bai


Northeast Normal University

Keyan Wong


National University of Singapore

Wing-Keung Wong


Hong Kong Baptist University (HKBU)

January 30, 2009


Abstract:     
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

working papers series


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Date posted: February 4, 2009 ; Last revised: February 7, 2009

Suggested Citation

Bai, Zhidong and Wong, Keyan and Wong, Wing-Keung, An Improvement of the Sharpe-Ratio Test on Small Samples -- Mean-Variance Ratio Test (January 30, 2009). Available at SSRN: http://ssrn.com/abstract=1336898 or http://dx.doi.org/10.2139/ssrn.1336898

Contact Information

Zhidong Bai
Northeast Normal University ( email )
Changchun
China
Keyan Wong
National University of Singapore
Bukit Timah Road 469 G
Singapore, 117591
Singapore
Wing-Keung Wong (Contact Author)
Hong Kong Baptist University (HKBU) ( email )
Kowloon
Hong Kong
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