NuclearPhynance Archive

In this article the author concludes I believe that the S&P 500 is an intelligent trading strategy based on some hypotheses tests.



Does this from the paper make sense?



t-statistic = (mean return/standard deviation) × sqrt(number of years)



Also, does a bootstrap make sense? I would think it does not make much sense.

IMHO, the independence of the returns hypothesis is the culprit.

Actually, I interpret the article as seriously tongue in cheek.

"Here is something with Sharpe 0.5. Let's test the hypothesis that it has Sharpe zero."



Sadly, probably not tongue in cheek at all.