School Research Seminar Series

1 May 2013

Time: 1:00 - 2:00pm
Venue: FB4.04/08 Francis Bancroft Building (4th Floor)

Speaker
Prof Chris Adcock, University of Sheffield Management School

Bio
http://www.sheffield.ac.uk/management/staff/adcock

Seminar title
Explaining styles of political judgement in British government: comparing isolation dynamics between administrations, 1959-74

Abstract
This  paper  reports  an  investigation  into  measures  of  portfolio  performance.  The  Sharpe  ratio  is  the  natural
performance  measure  when  asset  returns  come  from any elliptically symmetric  distribution,  regardless  of  the
investor  utility  function  and  subject  only  to  regularity  conditions.  Under  such  distributions,  the  measures  of
portfolio performance which are in common use are monotonic functions of the Sharpe ratio.  It is shown that for
large sample sizes the correlation between measures of performance which are functions of the Sharpe ratio is
asymptotically equal to unity. The correct specification for tests of the correlation between portfolio performance
measures is therefore the null hypothesis r = 1. A multivariate test of the correlations between several measures of
performance is presented. This may be used in either a multivariate or bivariate setting. The paper presents a
detailed example based on a number of FTSE indices. Performance measures are computed both parametrically
using the normal distribution and using sample estimates.  The new test does not lead to the rejection of the null
hypothesis that all correlations are equal to unity. This suggests that despite the evidence of non-normality in
returns there seems to be little gained in abandoning the Sharpe ratio.  

Additional information
Seminar lunch in The Kitchen at 12:30pm
The 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