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An alternative route to performance hypothesis testing

Author

Listed:
  • Bernd Scherer

    (Head of Investment Solutions, Deutsche Asset Management)

Abstract

A wide variety of risk–return ratios are routinely reported in sales pitches as well as academic publications. Little attempt has been made, however, to look at the small sample distributions of these estimators in order to derive confidence bands. The reason for this has been the extreme difficulty of working out the required statistics for most risk–return ratios. Rather than following classical statistics, this paper relies on a general and robust method which not only provides confidence intervals for arbitrary risk–return ratios, sample sizes and distribution, but is also fairly easy to implement.

Suggested Citation

  • Bernd Scherer, 2004. "An alternative route to performance hypothesis testing," Journal of Asset Management, Palgrave Macmillan, vol. 5(1), pages 5-12, June.
    • Handle: RePEc:pal:assmgt:v:5:y:2004:i:1:d:10.1057_palgrave.jam.2240123
    DOI: 10.1057/palgrave.jam.2240123
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    Cited by:

    1. Dan Cao & Jérôme Teïletche, 2007. "Reconsidering asset allocation involving illiquid assets," Journal of Asset Management, Palgrave Macmillan, vol. 8(4), pages 267-282, November.
    2. Bernd Scherer, 2021. "Adding alternative assets: return enhancement, diversification or hedging?," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 437-442, October.
    3. John Douglas (J.D.) Opdyke, 2007. "Comparing Sharpe ratios: So where are the p-values?," Journal of Asset Management, Palgrave Macmillan, vol. 8(5), pages 308-336, December.
    4. Nicola Metzger & Vijay Shenai, 2019. "Hedge Fund Performance during and after the Crisis: A Comparative Analysis of Strategies 2007–2017," IJFS, MDPI, vol. 7(1), pages 1-31, March.

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