bootTimeInference: Robust Performance Hypothesis Testing with the Sharpe Ratio
Version 0.1.0

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.

AuthorMichael Wolf [aut], Oliver Ledoit [aut], Aleksandar Spasojevic [cre]
Date of publication2016-04-11 09:06:32
MaintainerAleksandar Spasojevic <aleksandar.spasojevic@outlook.com>
LicenseGPL (>= 2)
Version0.1.0
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("bootTimeInference")

Popular man pages

blockSizeCalibrate: calculate the optimal block size
bootTimeInference: calculate bootstrap inference
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All man pages Function index File listing

Man pages

blockSizeCalibrate: calculate the optimal block size
bootTimeInference: calculate bootstrap inference

Functions

blockSizeCalibrate Man page
bootTimeInference Man page

Files

inst
inst/doc
inst/doc/jef_2008pdf.pdf
inst/doc/jef_2008pdf.pdf.asis
src
src/Makevars
src/boot_time_inference.cpp
src/Makevars.win
src/RcppExports.cpp
NAMESPACE
R
R/old.R
R/RcppExports.R
vignettes
vignettes/jef_2008pdf.pdf.asis
MD5
build
build/vignette.rds
DESCRIPTION
man
man/bootTimeInference.Rd
man/blockSizeCalibrate.Rd
bootTimeInference documentation built on April 14, 2017, 5:33 p.m.

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