RT Journal Article
SR Electronic
T1 Type I and Type II Errors of the Sharpe Ratio under Multiple Testing
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 39
OP 46
DO 10.3905/jpm.2022.1.403
VO 49
IS 1
A1 Marcos López de Prado
YR 2022
UL https://pm-research.com/content/49/1/39.abstract
AB Articles in financial literature typically estimate the p-value associated with an investment strategy’s performance without reporting the power of the test used to make that discovery. In this article, the author provides analytic estimates to Type I and Type II errors for the Sharpe ratios of investments and derives their familywise counterparts. These estimates allow researchers to carefully design experiments and select investments with high confidence and power.