[R-SIG-Finance] performance evaluation and sharpe ratio

[Bastian Offermann]

thats what i was looking for actually, i am not so much interested in 
testing, but rather in which time period to use to calculate sharpe ratios.

david.jessop at ubs.com schrieb:
> Hi
>
> A recent paper by Ledoit and Wolf
> (http://www.iew.uzh.ch/chairs/wolf/team/wolf/publications/jef_2008pdf.pd
> f) gives you a robust test for two Sharpe ratios being different.  Even
> better is if you go on one of their web sites (Wolf's I believe), you'll
> find a R routine to do the test for you. 
>
> And you should definitely look out of sample.
>
> Regards,
>
> David Jessop
>
>
> ------------------------------
>
> Message: 4
> Date: Tue, 09 Dec 2008 16:50:57 +0100
> From: Bastian Offermann <bastian2507hk at yahoo.co.uk>
> Subject: [R-SIG-Finance] performance evaluation and sharpe ratio
> To: r-sig-finance at stat.math.ethz.ch
> Message-ID: <493E93E1.3080503 at yahoo.co.uk>
> Content-Type: text/plain; charset=ISO-8859-15; format=flowed
>
> 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
>
>
>
> ------------------------------
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