msharpeBlockSize: Optimal block length for bootstrap test of difference of...

Description Usage Arguments Details Value Note Author(s) References See Also

Description

Function which computes the optimal block length for testing of the difference of modified Sharpe ratios

Usage

1
2
  msharpeBlockSize(x, y, level = 0.90, na.neg = TRUE, control = list(),
                   b.vec = c(1, 3, 6, 10), alpha = 0.05, M = 199, K = 500, b.av = 5, T.start = 50)

Arguments

x

vector (of lenght T) of returns for the first fund. NA values are allowed.

y

vector (of lenght T) returns for the second fund. NA values are allowed.

level

modified Value-at-Risk level. Default: level = 0.90.

na.neg

a logical value indicating whether NA values should be returned if a negative modified Value-at-Risk is obtained. Default na.neg = TRUE.

control

control parameters (see *Details*).

b.vec

vector of block to be tested.

alpha

significance level.

M

bootstrap replications.

K

number of cross-validation.

b.av

average block length in the stationary bootstrap.

T.start

starting point for bootstrap

Details

The argument control is a list that can supply any of the following components:

type

asymptotic approach (type = 1) or studentized circular bootstrap approach (type = 2). Default: type = 1.

ttype

test based on ratio (type = 1) or product (type = 2). Default: type = 2.

hac

heteroscedastic-autocorrelation consistent standard errors. Default: hac = FALSE.

minObs

minimum number of concordant observations to compute the ratios. Default: minObs = 10.

nBoot

number of boostrap replications for computing the p-value. Default: nBoot = 499.

bBoot

block length in the circular bootstrap. Default: bBoot = 1, i.e. iid bootstrap. bBoot = 0 uses optimal block-length.

pBoot

symmetric p-value (pBoot = 1) or asymmetric p-value (pBoot = 2). Default: pBoot = 1.

Value

The optimal block length.

Note

Please cite the package in publications. Use citation("PeerPerformance").

Author(s)

David Ardia and Kris Boudt.

References

Ardia, D., Boudt, K. (2015). Testing equality of modified Sharpe ratios Finance Research Letters 13, pp.97–104.

Ardia, D., Boudt, K. (2015). The Peer Performance of Hedge Funds. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2000901

Favre, L., Galeano, J.A. (2002). Mean-modified Value-at-Risk with Hedge Funds. The Journal of Alternative Investments 5, pp.21–25.

Gregoriou, G. N., Gueyie, J.-P. (2003). Risk-adjusted performance of funds of hedge funds using a modified Sharpe ratio. The Journal of Wealth Management Winter, pp.77–83.

Ledoit, O., Wolf, M. (2008). Robust performance hypothesis testing with the Sharpe ratio. Journal of Empirical Finance 15, pp.850–859.

Sharpe, W. F. (1994). The Sharpe ratio. Journal of Portfolio Management Fall, pp.49–58.

See Also

msharpe, msharpeScreening and sharpeTesting.


PeerPerformance documentation built on May 2, 2019, 4:53 p.m.