Time: 1:00 - 2:00pm Venue: FB4.04/08 Francis Bancroft Building (4th Floor)
SpeakerProf Chris Adcock, University of Sheffield Management School
Biohttp://www.sheffield.ac.uk/management/staff/adcock
Seminar titleExplaining styles of political judgement in British government: comparing isolation dynamics between administrations, 1959-74
AbstractThis paper reports an investigation into measures of portfolio performance. The Sharpe ratio is the naturalperformance measure when asset returns come from any elliptically symmetric distribution, regardless of theinvestor utility function and subject only to regularity conditions. Under such distributions, the measures ofportfolio performance which are in common use are monotonic functions of the Sharpe ratio. It is shown that forlarge sample sizes the correlation between measures of performance which are functions of the Sharpe ratio isasymptotically equal to unity. The correct specification for tests of the correlation between portfolio performancemeasures is therefore the null hypothesis r = 1. A multivariate test of the correlations between several measures ofperformance is presented. This may be used in either a multivariate or bivariate setting. The paper presents adetailed example based on a number of FTSE indices. Performance measures are computed both parametricallyusing the normal distribution and using sample estimates. The new test does not lead to the rejection of the nullhypothesis that all correlations are equal to unity. This suggests that despite the evidence of non-normality inreturns there seems to be little gained in abandoning the Sharpe ratio.
Additional informationSeminar lunch in The Kitchen at 12:30pmThe seminar will run from 13:00 to 14:00pm (suggested: 50 minute talk and 10 minute Q&A)
Please confirm your attendance by emailing l.giles@qmul.ac.uk