A test for the equality of multiple Sharpe ratios

Wright, John Alexander; Yam, Philip; Yung, S. P.

doi:10.21314/jor.2014.289

Cited by 37 publications

(10 citation statements)

References 16 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In order to evaluate the financial performance of the strategies, we refer to the mean daily returns, standard deviation and Sharpe ratio, which is tested between all the strategies for pairwise significance following Wright et al [55]. The social performance is reported as the average portfolio ESG score computed from both rating providers.…”

Section: Asset Selection and Portfolio Choicementioning

confidence: 99%

Passive ESG Portfolio Management—The Benchmark Strategy for Socially Responsible Investors

2021

View full text Add to dashboard Cite

In this article, we investigate the notion of doing well while doing good from the perspective of passive portfolio strategies. We analyze a number of asset allocation strategies based on ESG-weighting and compare their financial and ESG performance for the US and Europe. We find no significant difference in the financial performance but superior ESG performance of ESG-based strategies. It can be concluded that, compared to a naive strategy, socially responsible investors are willing to pay a small premium for the impact of the portfolio via transaction costs when rebalancing the portfolio according to their preferences for social responsibility. In addition, when comparing the ESG-based strategies to a value-weighted strategy, we observe no significant difference in ESG performance but a high degree of significance in the superior financial performance of the ESG-based strategy. We also analyze the strategies with regards to the factor loadings given by the Fama–French five-factor model and a sixth factor denoted GMB (Good minus Bad) and find significant differences across the regions and strategies. Overall, the results show strong support of ESG-based strategies being preferred by socially responsible investors but also suggest that such strategies might be preferred by conventional investors looking for a passively managed alternative compared to a value-weighted index. Furthermore, it seems that such a strategy might be a more adequate benchmark for active SRI funds.

show abstract

Section: Asset Selection and Portfolio Choicementioning

confidence: 99%

Passive ESG Portfolio Management—The Benchmark Strategy for Socially Responsible Investors

2021

View full text Add to dashboard Cite

show abstract

“…To test for equality of Sharpe ratios between REITs and industrial firms, we follow Wright et al . (). More specifically, we reject H 0 : SR 1 = SR 2 if

T^{2} > χ_{1}^{2}

where

T^{2} = \frac{n {(S R_{1} - S R_{2})}^{2}}{(σ_{1}^{2} + σ_{2}^{2} - 2 σ_{1, 2})}

.…”

mentioning

confidence: 97%

REIT Leverage and Return Performance: Keep Your Eye on the Target

Giacomini

Ling

Naranjo

2016

Real Estate Economics

View full text Add to dashboard Cite

This article examines U.S. REIT leverage decisions and their effects on risk and return. We find that the speed at which REITs close the gap between current debt levels and target leverage levels is 17% annually. REITs that are highly levered relative to the average REIT tend to underperform REITs with less debt in their capital structure. However, REITs that are highly levered relative to their target leverage tend to perform better on a risk-adjusted basis than under-levered REITs. Taken together, our results show that REIT leverage has significant return performance effects conditional on deviations from target leverage

show abstract

“…On the other hand, Wong et al (2012) develop the mixed SR that varies over time. Wright et al (2014) extend the work by Leung and Wong (2008) and others to develop a test for the equality of multiple SRs to relax the assumption that the excess returns could be stationary and ergodic.…”

Section: Risk Measuresmentioning

confidence: 90%

Review on behavioral economics and behavioral finance

Wong

2020

SEF

View full text Add to dashboard Cite

Purpose This paper aims to give a brief review on behavioral economics and behavioral finance and discusses some of the previous research on agents' utility functions, applicable risk measures, diversification strategies and portfolio optimization. Design/methodology/approach The authors also cover related disciplines such as trading rules, contagion and various econometric aspects. Findings While scholars could first develop theoretical models in behavioral economics and behavioral finance, they subsequently may develop corresponding statistical and econometric models, this finally includes simulation studies to examine whether the estimators or statistics have good power and size. This all helps us to better understand financial and economic decision-making from a descriptive standpoint. Originality/value The research paper is original.

show abstract

A test for the equality of multiple Sharpe ratios

Cited by 37 publications

References 16 publications

Passive ESG Portfolio Management—The Benchmark Strategy for Socially Responsible Investors

Passive ESG Portfolio Management—The Benchmark Strategy for Socially Responsible Investors

REIT Leverage and Return Performance: Keep Your Eye on the Target

Review on behavioral economics and behavioral finance

Contact Info

Product

Resources

About