ks test to compare manager alphas.
A better method would be to use the bootstrap technique described by Wolfe and Wunderli. This explicitly controls for the issue of multiple testing. Similar techniques for controlling data snooping biases are implemented ttrTest package. http://www.iew.uzh.ch/wp/iewwp445.pdf -----Original Message----- From: r-sig-finance-bounces at r-project.org [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Patrick Burns Sent: Tuesday, December 21, 2010 1:38 AM To: r-sig-finance at r-project.org; BChiquoine at tiff.org Subject: Re: [R-SIG-Finance] ks test to compare manager alphas. I think there are some practical problems. The ks.test will test if funds are different. It doesn't really test if one fund is better than the other. For the data that you are likely to have, I doubt you have much power. I would try simulating with some known distributions to see how much power there is.
On 20/12/2010 21:04, Chiquoine, Ben wrote:
Hi, I've recently discovered ks.test() in the stats package. I'd like to
apply it to alphas generated by hedge fund managers. I have several years of monthly excess returns for each manager and I'd like to see which come from distributions that are not statistically different. I have two questions for the group. The first question is whether the KS test is valid for two returns series which are likely not iid? I think I read that as long as the difference in empirical distributions functions (ecdf) is iid from the true distribution (which I don't know) the test is valid. My second question is more focused on R. ks.test gives me the source code for the R function but there are several calls to C code within the function. I'm wondering if there is any way to view the source for the C functions? I've searched R help for an answer to this less finance related question but only found one post in which they said the source could be found in a file called ks.c. Unfortunately I!
can't find this file on my hard drive or on the web. Any help this
group can offer is greatly appreciated.
Thanks, Ben
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Patrick Burns patrick at burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe _______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.