Performance Hypothesis Testing with the Sharpe Ratio
Posted: 6 Jun 2003
The Jobson-Korkie-test of equal Sharpe Ratios is widely used in the performance evaluation literature. This letter has two purposes: First, it corrects a typographical error in the test statistic. Second, it shows that the test statistic can be simplified without loss of its statistical properties.
Keywords: Sharpe Ratio, Performance Hypothesis Testing
JEL Classification: C12, G11
Suggested Citation: Suggested Citation