A Double Sharpe Ratio
Hrishikesh D. Vinod
Fordham University - Department of Economics
Matthew R. Morey
Pace University - Lubin School of Business - Department of Finance and Economics
June 1, 1999
Sharpe's (1966) portfolio performance ratio, the ratio of the portfolio?s expected return to its standard deviation, is a very well known tool for comparing portfolios. However, due to the presence of random denominators in the definition of the ratio, the sampling distribution of the Sharpe ratio is somewhat difficult to determine. This paper studies the properties of Sharpe ratio and then uses the bootstrap methodology to suggest a new "double" Sharpe ratio which incorporates estimation risk. We illustrate our methodology with the 30 largest growth mutual funds. We find that the ranking of mutual funds by the Sharpe and Double Sharpe ratios can be quite different.
Number of Pages in PDF File: 10
JEL Classification: G11
Date posted: August 16, 1999
© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo8 in 0.313 seconds