Description Usage Arguments Details Value Note Author(s) References See Also
Function which computes the optimal block length for testing of the difference of modified Sharpe ratios
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)
|
x |
vector (of lenght T) of returns for the first fund. |
y |
vector (of lenght T) returns for the second fund. |
level |
modified Value-at-Risk level. Default: |
na.neg |
a logical value indicating whether |
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 |
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
.
The optimal block length.
Please cite the package in publications. Use citation("PeerPerformance")
.
David Ardia and Kris Boudt.
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.
msharpe
, msharpeScreening
and sharpeTesting
.
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