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Title: Assets performance testing with the mean-variance ratio statistics
Keywords: Sharpe ratio, performance, Normal, mean-variance, UMPU, CTA funds
Issue Date: 8-Nov-2006
Citation: WANG KEYAN (2006-11-08). Assets performance testing with the mean-variance ratio statistics. ScholarBank@NUS Repository.
Abstract: Portfolio performance evaluation is one of the most important areas in investment analysis. In order to compare the different performance among portfolios, several statistics have been developed. Among them one of the most commonly used statistics is Sharpe ratio. However, we only know the asymptotic statistical properties of Sharpe measure until now. In finance, it is important to test the performance among assets for small samples. So we develop both one-side and two-side mean-variance ratio statistics and uniformly most powerful unbiased (UMPU) tests about these statistics to evaluate the performance among the assets. Furthermore, we also derive a likelihood ratio test to compare multiple assets. We apply both tests to analyze CTAs, which shows the superiority of our proposed test over the traditional Sharpe ratio test in detecting short term performance. The new statistics enable the investors to make better decision in their investment.
Appears in Collections:Master's Theses (Open)

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