Revisiting Hypothesis Testing With the Sharpe Ratio

These are *.rds and *.R files that are the data and code that were used to perform the calculations and prepare the figures for the article Revisiting Hypothesis Testing With the Sharpe Ratio. Here is the abstract:

It is shown via numerical simulation, asymptotic approximations and an
extension of the algorithm and codebase of the p-value estimator of Ledoit
and Wolf (2008) that the hypothesis test that is based on the difference
between the Sharpe ratios of a pair of portfolios is of such low power that
type-II errors would, in most circumstances of practical interest, be all too
frequent. The test is shown to be potentially feasible in practice only if the
returns of the paired portfolios under study tend to be strongly positively
correlated and if decades of data are available.