Sharpe Ratio: Estimation, Confidence Intervals, and Hypothesis Testing

Posted on June 13, 2018

Authors: Matteo Riondato (Labs, Two Sigma)

Published in: Two Sigma Technical Report Series, No. 2018-001

Abstract:  We survey and discuss methods proposed in the literature for 1. estimating the Sharpe ratio;  2. computing confidence intervals around a point estimation of the Sharpe ratio; and 3. performing hypothesis testing on a single Sharpe ratio and on the difference between two Sharpe ratios.

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