bootTimeInference: Robust Performance Hypothesis Testing with the Sharpe Ratio

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Applied researchers often test for the difference of the Sharpe ratios of two investment strategies. A very popular tool to this end is the test of Jobson and Korkie, which has been corrected by Memmel. Unfortunately, this test is not valid when returns have tails heavier than the normal distribution or are of time series nature. Instead, we propose the use of robust inference methods. In particular, we suggest to construct a studentized time series bootstrap confidence interval for the difference of the Sharpe ratios and to declare the two ratios different if zero is not contained in the obtained interval. This approach has the advantage that one can simply resample from the observed data as opposed to some null-restricted data.

Author
Michael Wolf [aut], Oliver Ledoit [aut], Aleksandar Spasojevic [cre]
Date of publication
2016-04-11 09:06:32
Maintainer
Aleksandar Spasojevic <aleksandar.spasojevic@outlook.com>
License
GPL (>= 2)
Version
0.1.0

View on CRAN

Man pages

blockSizeCalibrate
calculate the optimal block size
bootTimeInference
calculate bootstrap inference

Files in this package

bootTimeInference
bootTimeInference/inst
bootTimeInference/inst/doc
bootTimeInference/inst/doc/jef_2008pdf.pdf
bootTimeInference/inst/doc/jef_2008pdf.pdf.asis
bootTimeInference/src
bootTimeInference/src/Makevars
bootTimeInference/src/boot_time_inference.cpp
bootTimeInference/src/Makevars.win
bootTimeInference/src/RcppExports.cpp
bootTimeInference/NAMESPACE
bootTimeInference/R
bootTimeInference/R/old.R
bootTimeInference/R/RcppExports.R
bootTimeInference/vignettes
bootTimeInference/vignettes/jef_2008pdf.pdf.asis
bootTimeInference/MD5
bootTimeInference/build
bootTimeInference/build/vignette.rds
bootTimeInference/DESCRIPTION
bootTimeInference/man
bootTimeInference/man/bootTimeInference.Rd
bootTimeInference/man/blockSizeCalibrate.Rd