A post hoc test on the Sharpe ratio
Methodology
2026-02-17 v2 Portfolio Management
Abstract
We describe a post hoc test for the Sharpe ratio, analogous to Tukey's test for pairwise equality of means. The test can be applied after rejection of the hypothesis that all population Signal-Noise ratios are equal. The test is applicable under a simple correlation structure among asset returns. Simulations indicate the test maintains nominal type I rate under a wide range of conditions and is moderately powerful under reasonable alternatives.
Cite
@article{arxiv.1911.04090,
title = {A post hoc test on the Sharpe ratio},
author = {Steven Pav},
journal= {arXiv preprint arXiv:1911.04090},
year = {2026}
}