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.
Don't forget to subscribe to NEDL and give this video a thumbs up for more videos in Finance!
Please consider supporting NEDL on Patreon: / nedleducation
4 сен 2024