Excess return per unit of deviation in return.

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10
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434 views

Can we use White's reality check to compare two Sharpe ratios?

I read a paper from Ledoit and Wolf that proposes a method to compare two Sharpe ratios and a paper from White that proposes a method to compare $n$ trading rules. My question is: Can we use White's ...
2
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0answers
32 views

Significance testing of average returns from Sharpe ratio

I'm aware that one way to do significance testing on a strategy is based on the sampling distribution of its Sharpe (see, e.g., Lo, 2002 and Opdyke, 2008). However, it appears to me that there's ...
2
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0answers
62 views

Sharpe Ratio for loans

I am trying to calculate the sharpe ratio for a set of loans. These loans have already matured and I know if they were good or not: grades are the different grades of the loans. interest rate is the ...
2
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58 views

suitable benchmark to use for Sharpe ratio of power trading strategy

I have a algo which is trading a certain power contract. For calculating the Sharpe ration what would be a suitable benchmark to use?
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35 views

Stochastic Optimal Control for ratios

Do you know any good papers on methods of Stochastic Optimal Control and Hamilton-Jacobi-Bellman(HJB) for optimization of different ratios(Sharpe, M2, Sortino, Sterling, etc.)? Meaning that using ...
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30 views

Adding negative EV position to portfolio for diversification?

Say I have a portfolio of expected return $10%$ and volatility $20%%. If I have another asset that is either one of: Negatively correlated Positively correlated Uncorrelated With negative expected ...
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0answers
17 views

Single better parameter to explain ETF's comparison graph: Sharpe or IR?

For single comparison graph depicting price over time: SPY VS US some Sector ETF VS Momentum ETF on that sector, What would be the best single param to put? Sharpe ratio of each Information ratio ...
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58 views

How do I find the Sharpe Ratio?

Suppose I'm given two assets, x0, x1 and the stochastic discount factor m. How do I find m_p, then use it to compute Sharpe(R_p)? Any help is greatly appreciated.