The mean–variance ratio test—A complement to the coefficient of variation test and the Sharpe ratio test

To circumvent the limitations of the tests for coefficients of variation and Sharpe ratios, we develop the mean–variance ratio statistic for testing the equality of mean–variance ratios, and prove that our proposed statistic is the uniformly most powerful unbiased statistic. In addition, we illustrate the applicability of our proposed test for comparing the performances of stock indices.