An Intersection–Union Test for the Sharpe Ratio

An Intersection–Union Test for the Sharpe Ratio

Blog Article

An intersection–union test for supporting the EMS Control Board hypothesis that a given investment strategy is optimal among a set of alternatives is presented.It compares the Sharpe ratio of the benchmark with that of each other strategy.The intersection–union test takes serial dependence into account and does not presume that asset returns are multivariate normally distributed.An empirical study based on NEFF N70 KI6873FE0G Integrated 70/30 Fridge Freezer the G–7 countries demonstrates that it is hard to find significant results due to the lack of data, which confirms a general observation in empirical finance.