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Article: A test for the equality of multiple Sharpe ratios

TitleA test for the equality of multiple Sharpe ratios
Authors
KeywordsAutocorrelation
Covariance matrix
iShares
Sharpe ratio
Original research
Issue Date2014
PublisherIncisive Media. The Journal's web site is located at http://www.thejournalofrisk.com/
Citation
The Journal of Risk, 2014, v. 16 n. 4, p. 3-21 How to Cite?
AbstractThis paper provides a test for the equality of multiple Sharpe ratios. First we extend the multivariate Sharpe ratio statistic of Leung and Wong for the case when excess returns are independently and identically distributed. We then provide a test that holds under the much more general assumption that the excess returns are stationary and ergodic, making use of the generalized method of moments and heteroscedasticity and autocorrelation consistent estimation of covariance matrixes. We repeat Leung and Wong's testing for equality of the Sharpe ratios of 18 iShares using our new tests and conclude that the hypothesis of equality cannot be rejected at the 1% level.
Persistent Identifierhttp://hdl.handle.net/10722/202985
ISSN
2023 Impact Factor: 0.3
2023 SCImago Journal Rankings: 0.193
SSRN
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorWright, JA-
dc.contributor.authorYam, SCP-
dc.contributor.authorYung, SP-
dc.date.accessioned2014-09-19T11:06:55Z-
dc.date.available2014-09-19T11:06:55Z-
dc.date.issued2014-
dc.identifier.citationThe Journal of Risk, 2014, v. 16 n. 4, p. 3-21-
dc.identifier.issn1465-1211-
dc.identifier.urihttp://hdl.handle.net/10722/202985-
dc.description.abstractThis paper provides a test for the equality of multiple Sharpe ratios. First we extend the multivariate Sharpe ratio statistic of Leung and Wong for the case when excess returns are independently and identically distributed. We then provide a test that holds under the much more general assumption that the excess returns are stationary and ergodic, making use of the generalized method of moments and heteroscedasticity and autocorrelation consistent estimation of covariance matrixes. We repeat Leung and Wong's testing for equality of the Sharpe ratios of 18 iShares using our new tests and conclude that the hypothesis of equality cannot be rejected at the 1% level.-
dc.languageeng-
dc.publisherIncisive Media. The Journal's web site is located at http://www.thejournalofrisk.com/-
dc.relation.ispartofThe Journal of Risk-
dc.rights© 2014 Incisive Media Ltd. All rights reserved. This article is available online at http://dx.doi.org/10.21314/JOR.2014.289.-
dc.subjectAutocorrelation-
dc.subjectCovariance matrix-
dc.subjectiShares-
dc.subjectSharpe ratio-
dc.subjectOriginal research-
dc.titleA test for the equality of multiple Sharpe ratios-
dc.typeArticle-
dc.identifier.emailYung, SP: spyung@hku.hk-
dc.identifier.authorityYung, SP=rp00838-
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.21314/JOR.2014.289-
dc.identifier.scopuseid_2-s2.0-84973548621-
dc.identifier.hkuros237158-
dc.identifier.volume16-
dc.identifier.issue4-
dc.identifier.spage3-
dc.identifier.epage21-
dc.identifier.isiWOS:000348566700002-
dc.publisher.placeUnited Kingdom-
dc.identifier.ssrn2790982-
dc.identifier.issnl1465-1211-

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