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I have a problem regarding comparing sharpe ratios of portfolios. As an example: I have constructed a portfolio from monthly data over 5 years, giving me a sharpe ratio of 0.85. I have a portfolio with similar stocks but with characteristics that they're majority owned by their employees, yielding sharpe ratio of 1.3.

I want to test if the ratio of 1.3 is significant different than the ratio of 0.85.

I'm using R for this so far.

Thanks for any help beforehand Best Emil

Emil
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    Use SharpeR::sr_unpaired_test for unpaired observations, or SharpeR::sr_equality_test for paired observations. – shabbychef Apr 21 '22 at 23:23

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This paper covers the topic and should be helpful: https://alo.mit.edu/wp-content/uploads/2017/06/The-Statistics-of-Sharpe-Ratios.pdf

TickaJules
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