Estimates the standard error of the Sharpe ratio statistic.
1 2 3 4
an observed Sharpe ratio statistic, of class
estimator type. one of
further arguments to be passed to or from methods.
For an observed Sharpe ratio, estimate the standard error. The following methods are recognized:
The default, based on Johnson & Welch, with a correction
for small sample size. Also known as
An approximation to the standard error taking into skewness and kurtosis of the returns distribution.
An even higher accuracty approximation using higher order moments.
There should be very little difference between these except for very small sample sizes.
an estimate of standard error.
The units of the standard error are consistent with those of the
Steven E. Pav [email protected]
Sharpe, William F. "Mutual fund performance." Journal of business (1966): 119-138. http://ideas.repec.org/a/ucp/jnlbus/v39y1965p119.html
Johnson, N. L., and Welch, B. L. "Applications of the non-central t-distribution." Biometrika 31, no. 3-4 (1940): 362-389. http://dx.doi.org/10.1093/biomet/31.3-4.362
Lo, Andrew W. "The statistics of Sharpe ratios." Financial Analysts Journal 58, no. 4 (2002): 36-52. http://ssrn.com/paper=377260
Bao, Yong. "Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking Under a General Return Distribution." Journal of Financial Econometrics 7, no. 2 (2009): 152-173. https://doi.org/10.1093/jjfinec/nbn022
Opdyke, J. D. "Comparing Sharpe Ratios: So Where are the p-values?" Journal of Asset Management 8, no. 5 (2006): 308-336. http://ssrn.com/paper=886728
Walck, C. "Hand-book on STATISTICAL DISTRIBUTIONS for experimentalists." 1996. http://www.stat.rice.edu/~dobelman/textfiles/DistributionsHandbook.pdf
1 2 3
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.