Estimates the standard error of the Sharpe ratio statistic.
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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. There are two methods:
t, based on Johnson & Welch, with a correction
for small sample size, also known as
A method based on the exact variance of the non-central t-distribution,
There should be very little difference between these except for very small sample sizes.
an estimate of standard error.
Eventually this should include corrections for autocorrelation, skew, kurtosis.
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
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
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