SharpeR (Q52048)
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Statistical Significance of the Sharpe Ratio
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | SharpeR |
Statistical Significance of the Sharpe Ratio |
Statements
18 December 2024
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A collection of tools for analyzing significance of assets, funds, and trading strategies, based on the Sharpe ratio and overfit of the same. Provides density, distribution, quantile and random generation of the Sharpe ratio distribution based on normal returns, as well as the optimal Sharpe ratio over multiple assets. Computes confidence intervals on the Sharpe and provides a test of equality of Sharpe ratios based on the Delta method. The statistical foundations of the Sharpe can be found in the author's Short Sharpe Course <doi:10.2139/ssrn.3036276>.
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Identifiers
25 August 2021
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