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Persistent link: https://www.econbiz.de/10009779308
In this paper, we provide evidence that the mean-variance-ratio (MVR) test is superior to the Sharpe ratio (SR) test by applying both tests to analyze the performance of commodity trading advisors (CTAs). Our findings show that while the SR test concludes that most of the CTA funds being...
Persistent link: https://www.econbiz.de/10010679169