[PDF][PDF] The pitfall of using Sharpe ratio

MC Lin, PH Chou - Finance Letters, 2003 - mgt.ncu.edu.tw
… of Sharpe ratio, and the bias enlarges when a long investment horizon is considered. To
calculate long-horizon Sharpe ratios, we propose the use of … based on Sharpe ratios of different …

Sharpening sharpe ratios

… may use derivative contracts. In a performance measurement setting, we suggest that the
distribution of high Sharpe ratio … This section analyzes the maximal Sharpe ratio problem in a …

Robust performance hypothesis testing with the Sharpe ratio

O Ledoit, M Wolf - Journal of Empirical Finance, 2008 - Elsevier
… Instead, we propose the use of robust inference methods. In … of the Sharpe ratios and to
declare the two ratios different if zero … the comparison of two Sharpe ratios is deemed of interest. …

Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance

V Zakamouline, S Koekebakker - Journal of Banking & Finance, 2009 - Elsevier
… optimal capital allocation problem and derive a formula for the Sharpe ratio adjusted for
skewness 3 of distribution. This performance measure is denoted as the Adjusted for Skewness …

Adjusting for risk:: An improved Sharpe ratio

K Dowd - International review of economics & finance, 2000 - Elsevier
… Fortunately, this problem with the traditional Sharpe ratio is easily put right. Suppose we …
To get around this correlation problem, all we need to do is construct two Sharpe ratios, one for …

Risk-adjusted performance of funds of hedge funds using a modified Sharpe ratio

GN Gregoriou, JP Gueyie - The Journal of wealth management, 2003 - pm-research.com
… A modified value at risk (VaR) and modified Sharpe ratio solves the problem and can provide
… to the Sharpe and modified Sharpe ratio. Their results indicate that the modified Sharpe is …

Pitfalls of downside performance measures with arbitrary targets

B Hoechner, P Reichling… - International Review of …, 2017 - Wiley Online Library
… They were developed to resolve restrictive assumptions of the classical Sharpe ratio.
While the Sharpe ratio evaluates whether portfolios of a mutual fund and the risk-free asset …

Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion

CO Amédée-Manesme, F Barthélémy - Annals of Operations Research, 2022 - Springer
… return on VaR, conditional Sharpe ratio, and modified Sharpe ratio (the one analyzed in this
work) have been proposed to replace the Sharpe ratio and overcome some of its pitfalls. In a …

Time aggregation of the Sharpe ratio

Z Bednarek, P Patel, CA Ramezani - Journal of Asset Management, 2016 - Springer
… Hence, the problem of calculating Sharpe ratio is compounded when the moments of portfolio
return are constantly changing. This is not the case for the passive portfolios we consider …

Small sample inferences on the sharpe ratio

S Unhapipat, JY Chen, N Pal - American Journal of Mathematical …, 2016 - Taylor & Francis
… In this section we are going to apply the Sharpe ratio estimation techniques to two real-life
datasets. The portfolio values of two types of mutual funds have been obtained from the (a) …