Connecting Sharpe Ratio and Student T-Statistic, and Beyond

CONNECTING T AND LATTICE-VALUED CONVERGENCES

$top$-filters can be used to define $top$-convergence spaces in the lattice-valued context. Connections between $top$-convergence spaces and lattice-valued convergence spaces are given. Regularity of a $top$-convergence space has recently been defined and studied by Fang and Yue. An equivalent characterization is given in the present work in terms of convergence of closures of $top$-filters.  M...

Sharpe Ratio Practice Note

The Sharpe Ratio Efficient Frontier

We evaluate the probability that an estimated Sharpe ratio exceeds a given threshold in presence of non-Normal returns. We show that this new uncertainty-adjusted investment skill metric (called Probabilistic Sharpe ratio, or PSR) has a number of important applications: First, it allows us to establish the track record length needed for rejecting the hypothesis that a measured Sharpe ratio is b...

The Sharpe Ratio Indifference Curve

Notes on the Sharpe ratio

Herein is an incomplete collection of facts about the Sharpe ratio, and the Sharpe ratio of the Markowitz portfolio. Connections between the Sharpe ratio and the t-test, and between the Markowitz portfolio and the Hotelling T 2 statistic are explored. Many classical results for testing means can be easily translated into tests on assets and portfolios. A ‘unified’ framework is described which c...