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.

本数据集包含 *.rds 和 *.R 文件，这些文件用于执行计算并准备文章《重新审视基于夏普比率的假设检验》中的图表。摘要如下：通过数值模拟、渐近近似以及对Ledoit 和 Wolf（2008年）提出的 p 值估计算法和代码库的扩展，证明了基于一对投资组合夏普比率之差的假设检验具有极低的功效，在大多数实际关注的情形下，第二类错误的发生将极其频繁。该检验仅在所研究的配对投资组合的回报倾向于强烈正相关，并且可获取数十年数据的情况下，才在实践上具有潜在可行性。