Performance Hypothesis Testing with the Sharpe Ratio

Posted: 6 Jun 2003

Abstract

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

Memmel, Christoph, Performance Hypothesis Testing with the Sharpe Ratio. Available at SSRN: https://ssrn.com/abstract=412588

Christoph Memmel (Contact Author)

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
10,597
PlumX Metrics