Inference for the Sharpe Ratio Using a Likelihood-Based Approach

Table 3

Fund: 𝑝 values for SR.

Method	SR
	−0.25	0	0.25	0.50	0.75	1
Jobson and Korkie	0.9797	0.8867	0.6442	0.3194	0.0953	0.0159
Mertens	0.9684	0.8635	0.6313	0.3352	0.1177	0.0257
Likelihood ratio	0.9821	0.8962	0.6637	0.3393	0.1055	0.0185
Proposed	0.9784	0.8813	0.6344	0.3107	0.0917	0.0151