Inference for the Sharpe Ratio Using a Likelihood-Based Approach

Table 4

Market: 𝑝 values for SR.

Method	SR
	−0.25	0	0.25	0.50	0.75	1
Jobson and Korkie	0.9928	0.9485	0.7921	0.4989	0.2063	0.0509
Mertens	0.9954	0.9588	0.8070	0.4988	0.1914	0.0407
Likelihood ratio	0.9941	0.9553	0.8114	0.5277	0.2289	0.0603
Proposed	0.9921	0.9444	0.7813	0.4849	0.1976	0.0484