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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 method to compare two Sharpe ratios? I prefer this method because it's computationally simpler.

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  • $\begingroup$ Did you see the source code provided by one of the authors of the Ledoit and Wolf paper? $\endgroup$ – Bob Jansen Mar 13 '12 at 19:18
  • $\begingroup$ Yes i see but there is no kernel estimation for the reality check that i have already code $\endgroup$ – rich Mar 14 '12 at 8:19
  • $\begingroup$ The point of White is to adjust for multiplicity. Why use it to compare only two Sharpe ratios? Or maybe you want to use it for $n >> 2$ Sharpe ratios? $\endgroup$ – James Sep 12 '14 at 14:28
  • $\begingroup$ WRC is covered by a patent for at least 5 more years, so perhaps the answer is no. In the meantime, the Leung & Wong test following Jobson & Korkie's asymptotic expansion is probably just fine for comparing multiple Sharpes. $\endgroup$ – steveo'america May 25 '18 at 21:13

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