Performance Hypothesis Testing with the Sharpe Ratio

By Christoph Memmel. 2003

364 citations recorded by the source corpus.

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Citations in the corpus

Model Comparison with Sharpe Ratios (2019, methodology): “In Table 3, we present multiple-model comparison tests of the squared Sharpe ratios of 8 asset pricing models. The models include the He et al. (2017) 2-factor model (MKT+ FIRFT), the betting-against-beta extension of the capital asset pricing model (CAPM) (MKT + BAB) of Frazzini and Pedersen (2014)”
Election uncertainty, economic policy uncertainty and financial market uncertainty: A prediction market analysis (2020, methodology): “We test the difference in Sharpe ratios for the two strategies using the methodology of Jobson and Korkie (1981), corrected as per Memmel (2003).”
Does the Measure Matter in the Mutual Fund Industry? (2008, background): “• A wide range of statistical tests are available for the Sharpe ratio (see, for example, Jobson and Korkie 1981; Memmel 2003), which is not the case for the other performance measures.”
Stock Return Predictability and Investor Sentiment: A High-Frequency Perspective (2016, methodology): “…the Sharpe ratios of different strategies are statistically distinguishable, we follow DeMiguel, Garlappi, and Uppal (2009) (DGU) and report the p-value of the difference of the Sharpe ratios, using the approach suggested by Jobson and Korkie (1981) with adjustments proposed by Memmel (2003).”
Comparing Sharpe ratios: So where are the p-values? (2007, methodology): “This is the definition of the Sharpe ratio as presented by Jobson and Korkie (1981), Sharpe (1994), Memmel (2003), and others.”
Fossil Fuel Divestment and Portfolio Performance (2018, methodology): “The significance of differences in Sharpe ratios is tested using the robust Ledoit and Wolf (2008) test, as in related studies (Auer, 2016; Lobe and Walkshäusl, 2016), next to the standard Jobson-Korkie (1981) test corrected by Memmel (2003).”
Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? (2009, unknown): “…we also compute the p-value of the difference, using the approach suggested by Jobson and Korkie (1981) after making the correction pointed out in Memmel (2003).16 In order to assess the effect of estimation error on performance, we also compute the in-sample Sharpe ratio for each strategy.”
Can investor sentiment be a momentum time-series predictor? Evidence from China (2017, methodology): “To assess the statistical significance of the Sharpe ratio difference, we perform the test of Jobson and Korkie (1981) corrected by Memmel (2003) (JKM-test hereafter).”
Should Investors Include Commodities in Their Portfolios After All? New Evidence (2011, unknown): “…all the central moments of the distribution of the end-of-period wealth and the k partial derivatives of the utility function, i.e. ( )11 1 1 0 ( ) [ ( )] ! k k t t t t k U W E U W E W W k ∞ + + + + = = − ∑ (32) We choose k=2 that corresponds to the MV optimization proposed by Markowitz (1952).”
The Volatility Effect (2007, unknown): “In order to test for the statistical significance of the difference between two Sharpe ratios, we apply the Jobson & Korkie (1981) test with the Memmel (2003) correction.”
Robust Performance Hypothesis Testing with the Variance (2011, unknown): “2 The problem We use the same notation as Jobson and Korkie (1981), Memmel (2003), and Ledoit and Wolf (2008), who study the related problem of testing for equality of two Sharpe ratios.”
Investor sentiment aligned: : A powerful predictor of stock returns (2015, methodology): “Following again DeMiguel, Garlappi, and Uppal (2009), we use the approach of Jobson and Korkie (1981) corrected by Memmel (2003) to test whether the Sharpe 24 ratio of the portfolio strategy based on predictive regression is statistically indifferent from that of the portfolio strategy based on…”
Robust Forecasting of Dynamic Conditional Correlation GARCH Models (2013, methodology): “The significance of the difference in Sharpe ratio is evaluated using the test of Jobson and Korkie (1981) and Memmel (2003), which uses also Newey-West standard errors.”
The coefficient of variation asymptotic distribution in the case of non-iid random variables (2009, background): “(21) 3.1 The iid assumption If Xj1, Xj2, . . . , XjT , j = 1, 2, are iid random variables and (X1t , X2t ) has a bivariate normal distribution, Jobson and Korkie [14] and Memmel [16] showed that √ T (θ̂ − θ) a∼ N(0, Vθ ), Vθ ≡ ⎡⎢⎢⎣ σ 21 σ12 0 0 σ12 σ 2 2 0 0 0 0 2σ 41 2σ 2 12 0 0 2σ 212 2σ 4 2 ⎤⎥⎥⎦ ”
Robust Performance Hypothesis Testing with the Sharpe Ratio (2008, unknown): “Common Approach: JK (1981) and Memmel (2003) Approach: Let u = (μi,μn,σi ,σ 2 n) and û = (μ̂i, μ̂n, σ̂i , σ̂ 2 n) If the returns are i.”