On the Mimicking-Portfolio Squared Sharpe Ratio Estimator: Asymptotic and Exact Distributions

with Raymond Kan and Xiaolu Wang, 2020, working paper. [pdf coming soon].In this paper, we contrast the asymptotic and finite-sample distributions of the mimicking-portfolio squared Sharpe Ratio estimator. Importantly, we show that in several realistic scenarios, the asymptotic normal distribution provides a poor approximation of the exact distribution of the test statistic. We use Monte Carlo simulations and a few empirical applications to illustrate the relevance of our new results.