Research Article

Inference for the Sharpe Ratio Using a Likelihood-Based Approach

Table 1

Monthly return prices.

Month Fund Market Cash

1 1.155809268 1.021191715 1.071489631
2 1.165211551 1.022641807 1.07422193
3 1.183344526 1.060673856 1.077202896
4 1.184016118 1.05100051 1.080281901
5 1.186030893 1.059513614 1.083405716
6 1.163196776 1.041851522 1.08684553
7 1.190732035 1.081254347 1.090341549
8 1.19677636 1.081621973 1.093957849
9 1.216252518 1.110263323 1.097941679
10 1.222296843 1.113272137 1.102068109
11 1.224311618 1.127132375 1.106210049
12 1.234385376 1.141573195 1.110450484