[R-SIG-Finance] performance evaluation and sharpe ratio

[Adams, Zeno]

Ledoit, O. and Wolf, M. (2008).
Robust performance hypothesis testing with the Sharpe ratio. 
Journal of Empirical Finance 15, 850-859.

Use a studentized time series bootstrap to compare the significance in the difference of two sharpe ratios. They also provide an R code at http://www.iew.uzh.ch/chairs/wolf/team/wolf/publications.html#7

Zeno



-----Ursprüngliche Nachricht-----
Von: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] Im Auftrag von Bastian Offermann
Gesendet: Dienstag, 9. Dezember 2008 16:51
An: r-sig-finance at stat.math.ethz.ch
Betreff: [R-SIG-Finance] performance evaluation and sharpe ratio

Hello all,

i am currently doing some portfolio resampling experiments and wonder 
how to best evaluate different investment strategies based on the sharpe 
ratio.

i do have a time series for 2 equity indices from jan 2002 till dec 2007 
of daily log returns (1548 observations) and perform an unconstrained 
markowitz optimization to obtain both portfolio weights for a given 
return level.

my experiment is based on deMiguel (2007) performing further markowitz 
optimizations on subsamples of 1300 observations each, i.e. the first 
sample is r_1, r_2, ..., r_1300, the 2nd sample is r_2, r_3, ..., r_1301 
and so on. i finally obtain 249 subsamples and as many portfolio weight 
vectors.

how do i best examine each strategy using the sharpe ratio? 
in-sample-test? out-of-sample test?

any suggestion is highly appreciated. thanks in advance.

kind regards

b

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