This paper discusses the problem of testing for high-dimensional covariance matrices. Tests for an identity matrix and for the equality of two covariance matrices are considered when the data dimension and the sample size are both large. Most importantly, the dimension can be much larger than...

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...