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Thank you very much, exactly what i was looking for... Just another quick one: As long as the Sharpe Ratio or risk adjusted return is so widely used as a performance measurement, how do they check if one performance is significantly better ? Or is is just common to compare the sharpe ratio...

I'll try again.... the mean is almost the same on both series, but the risk adjusted return is quite different. Then the standard deviation has to be quite different too. How can i test if the standard deviation is significantly different?

I understand what you are saying... just say both of them have the same mean, but one has 2 times higher stdev. It has to be a way to proove that one has significantly lower standard deviation....? regards.-.

Thanks fo your answer, but then i will just test if the returns in serie 1 is significantly higher than the other.... thats not my problem....

Hi. Here's my problem, probably an easy one for some of you.... I have 2 return series, each with 26 returns, that is 14-days returns. So both series is one year. If i want to test if the annual risk-adjusted return (annual return/annual stddev) of time serie 1 is significantly higher...