An intersection-union test for the sharpe ratio

Gabriel Frahm

An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection–union test takes serial dependence into account and does not presume that asset returns are multivariate normally distributed. An empirical study based on the G–7 countries demonstrates that it is hard to find significant results due to the lack of data, which confirms a general observation in empirical finance.

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Year of publication:	June 2018
Authors:	Frahm, Gabriel
Subject:	ergodicity \| Gordin’s condition \| heteroscedasticity \| intersection-union test \| Jobson-Korkie test \| performance measurement \| Sharpe ratio \| Performance-Messung \| Performance measurement \| Statistischer Test \| Statistical test \| Portfolio-Management \| Portfolio selection \| Schätztheorie \| Estimation theory \| Kapitaleinkommen \| Capital income \| Betriebliche Kennzahl \| Financial ratio \| Heteroskedastizität \| Heteroscedasticity \| CAPM

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