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An intersection-union test for the sharpe ratio

Frahm, Gabriel - In: Risks : open access journal 6 (2018) 2, pp. 1-13

An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection–union test takes serial dependence into account and...

Persistent link: https://www.econbiz.de/10011866388

Testing equality of modified Sharpe ratios

Ardia, David; Boudt, Kris - In: Finance research letters 13 (2015), pp. 97-104

Persistent link: https://www.econbiz.de/10011552416

Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings

Auer, Benjamin R.; Schuhmacher, Frank - In: Journal of international financial markets, … 24 (2013), pp. 153-165

Persistent link: https://www.econbiz.de/10009726414

The low return distortion of the Sharpe ratio

Auer, Benjamin R. - In: Financial markets and portfolio management 27 (2013) 3, pp. 299-306

Persistent link: https://www.econbiz.de/10009780275

Hedge fund performance using scaled Sharpe and Treynor measures

Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 6, pp. 1261-1300

Persistent link: https://www.econbiz.de/10011279837

Hedge fund performance evaluation using the Sharpe and Omega ratios

Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 3, pp. 485-512

Persistent link: https://www.econbiz.de/10010370229

The bias ratio as a hedge fund fraud indicator : an empirical performance study under different economic conditions

Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 4, pp. 867-896

Persistent link: https://www.econbiz.de/10010393444

Performance characteristics of hedge fund indices

Kapil, Sheeba; Gupta, Jayesh - In: Theoretical economics letters 9 (2019) 6, pp. 2176-2197

Persistent link: https://www.econbiz.de/10012241398

An Omega ratio analysis of global hedge fund returns

Rambo, James; Van Vuuren, Gary - In: The journal of applied business research 33 (2017) 3, pp. 565-585

Persistent link: https://www.econbiz.de/10011705695

How the performance measures influence the evaluation of hedge funds' strategies?

Mzoughi, Hela - In: The empirical economics letters : a monthly … 18 (2019) 10, pp. 1063-1076

Persistent link: https://www.econbiz.de/10012318570

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