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Sharpe ratio significance: Bootstrap applications (Excel)

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Sharpe ratios are not very well-behaved statistically when asset returns are autocorrelated and heteroskedastic. One of the common ways of evaluating the statistical significance of Sharpe ratios subject to these assumption violations is to use bootstrapping. Today we are investigating the application of bootstrapping for Sharpe ratios in Excel, discussing various approaches and their limitations.
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Опубликовано:

4 сен 2024

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Комментарии : 16

@NEDLeducation 2 года назад

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

@salardelavarqashqai Год назад

perfect teaching. God bless you bro

@aksingh11 2 года назад

Awesome . It would be great if Kelly criterion and expected value concepts are also explained. Your style is very smooth and easy

@lev5619 Год назад

Hi NEDL, you help me so much with my thesis! I did not find yet a video where you are explicitly calculating confidence intervals (not just mentioning). Would you do one on how to calculate bootstrap and/or asymptotic confidence intervals (as in the video "Statistics of Sharpe ratio") ? Really great channel & so glad I found it!

@MrMahankumar 2 года назад

Hey man great!!!! This is a very good addition to yesterday's video of Sharpe Ratio! As a suggestion, could we have a video serious on Multivariate Adaptive Regression Spline (MARS) maybe sometime ahead?

@wiltonhotz 2 года назад

Great video! I would love to see Probabilistic Sharpe Ratio and Deflated Sharpe Ratio. I know they are not simple, but at least the first one should be implementable using Excel, since skew and kurtosis is available. Thank you for teaching me statistics 🙏

@NEDLeducation 2 года назад

Hi Wilton, and many thanks for such a great suggestion! I might do a video on both PSR and DSR in the nearest future.

@wiltonhotz 2 года назад

@@NEDLeducation Very cool, thank you! If you manage, you will be the first one ever - and the ONLY SOURCE of PSR and DSR - on the entire RU-vid.

@freelunch5638 2 года назад

A pleasure, as always, to be a channel subscriber and watch these clear, relevant and genuinely enlightening videos. If I may humbly put forward a video idea: I wonder if it would be at all possible to conduct Principal Component Analysis of a yield curve in Excel? Regards, a keen follower! Sending love and all the best of wishes!

@aravindganesan88 2 года назад

Thanks a lot for this video. I was not able to find the excel file in the Google Drive folder, could you upload it there pls?

@NEDLeducation 2 года назад

Hi Aravind, and glad you liked the video! The spreadsheet should be available now.

@ridongashi7929 2 года назад

Thank you for this great video! How would you compare the sharpe-ratios of two or more portfolios? I am able to calculate the sharpe ratios and the standard errors of the sharpe ratios for different portfolios, but I can't decide how to test if the sharpe ratios are statistically significant different to each other. I'd be very thankful for some advice!

@moc5541 21 день назад

See, for example, "Revisiting Hypothesis Testing With the Sharpe Ratio," which is in the current (free) online issue of Econ Journal Watch. In it you will find a reference to an article by Ledoit and Wolf, which was published along with software to compute the p-value for Sharpe ratio differences. And be guided accordingly, by the Econ Journal Watch article, concerning the generally low power of the test when the comparison is between the Sharpe ratios of two portfolios. Often the power is too low for hypothesis testing to be feasible. On the left-hand side of the journal's page for the current issue there is a column with a link to an audio interview with the author of the article. It might be helpful.