An Alternative Route to Performance Hypothesis Testing

wide variety of risk–return ratios is routinely reported in sales pitches as well as academic publications.

Author(s):

Bernhard Scherer

Professor of Finance, EDHEC Business School

Few attempts have 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 classic 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.

Type: Working paper
Date: le 18/11/2009
Research Cluster : Finance

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