One of the important contributions of the fourth industrial revolution is the introduction of robo
advisors as alternates to conventional mutual funds. Robo advisors are mechanized …

It is widely accepted that, when return distributions are non-normal, the use of the Sharpe
ratio can lead to misleading conclusions. It is well documented that deviations of hedge fund …

Financial advisors commonly recommend that the investment horizon should be rather long
in order to benefit from the 'time diversification'. In this case, in order to choose the optimal …

When automated trading strategies are developed and evaluated using backtests on
historical pricing data, there exists a tendency to overfit to the past. Using a unique dataset of …

We propose the outperformance probability as a new performance measure, which can be
used in order to compare a strategy with a specified benchmark, and develop the basic …

The study is to evaluate and compare the performance of investment funds. The proposed
approach evaluates the effectiveness of the fund's investment strategy in terms of the …

This study aimed to analyses the performance of each asset in the investment portfolio using
the riskadjusted performance and also to analyses the composition of the investment …

In finance one often needs to estimate the risk and reward of an asset over a long-run given
a sample of observations over a short-run. Two common obstacles in these estimations are …

The Sharpe ratio (SR) is the most widely used risk-adjusted performance index. The building
blocks of the SR–the expected return and the volatility–depend on the investment horizon …

SYNOPTIC ABSTRACT This work deals with statistical inferences on the “Sharpe Ratio”(SR)
based on small samples. We have considered point estimation, interval estimation, as well …