13 Pages Posted: 4 Feb 2009 Last revised: 7 Feb 2009
Date Written: 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.
Keywords: Sharpe ratio, mean-variance ratio, test statistics, hypothesis testing, uniformly most powerful unbiased test
JEL Classification: C12, G11
Suggested Citation: 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: https://ssrn.com/abstract=1336898 or http://dx.doi.org/10.2139/ssrn.1336898