Hello all, i am currently doing some portfolio resampling experiments and wonder how to best evaluate different investment strategies based on the sharpe ratio. i do have a time series for 2 equity indices from jan 2002 till dec 2007 of daily log returns (1548 observations) and perform an unconstrained markowitz optimization to obtain both portfolio weights for a given return level. my experiment is based on deMiguel (2007) performing further markowitz optimizations on subsamples of 1300 observations each, i.e. the first sample is r_1, r_2, ..., r_1300, the 2nd sample is r_2, r_3, ..., r_1301 and so on. i finally obtain 249 subsamples and as many portfolio weight vectors. how do i best examine each strategy using the sharpe ratio? in-sample-test? out-of-sample test? any suggestion is highly appreciated. thanks in advance. kind regards b
performance evaluation and sharpe ratio
2 messages · Bastian Offermann, Adams, Zeno
Ledoit, O. and Wolf, M. (2008). Robust performance hypothesis testing with the Sharpe ratio. Journal of Empirical Finance 15, 850-859. Use a studentized time series bootstrap to compare the significance in the difference of two sharpe ratios. They also provide an R code at http://www.iew.uzh.ch/chairs/wolf/team/wolf/publications.html#7 Zeno -----Urspr?ngliche Nachricht----- Von: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] Im Auftrag von Bastian Offermann Gesendet: Dienstag, 9. Dezember 2008 16:51 An: r-sig-finance at stat.math.ethz.ch Betreff: [R-SIG-Finance] performance evaluation and sharpe ratio Hello all, i am currently doing some portfolio resampling experiments and wonder how to best evaluate different investment strategies based on the sharpe ratio. i do have a time series for 2 equity indices from jan 2002 till dec 2007 of daily log returns (1548 observations) and perform an unconstrained markowitz optimization to obtain both portfolio weights for a given return level. my experiment is based on deMiguel (2007) performing further markowitz optimizations on subsamples of 1300 observations each, i.e. the first sample is r_1, r_2, ..., r_1300, the 2nd sample is r_2, r_3, ..., r_1301 and so on. i finally obtain 249 subsamples and as many portfolio weight vectors. how do i best examine each strategy using the sharpe ratio? in-sample-test? out-of-sample test? any suggestion is highly appreciated. thanks in advance. kind regards b _______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first. EBS European Business School gemeinnuetzige GmbH - Sitz der Gesellschaft: Wiesbaden, Amtsgericht Wiesbaden HRB 19951 - Umsatzsteuer-ID DE 113891213 Geschaeftsfuehrung: Prof. Dr. Christopher Jahns, Rektor; Dr. Reimar Palte, Kanzler; Sabine Fuchs, Prokuristin; Verwaltungsrat: Dr. Hellmut K. Albrecht, Vorsitzender