Risk-Adjusted Portfolio Performance Measures

Springer Texts in Business and Economics - Analyzing Financial Data and Implementing Financial Models Using R ◽

10.1007/978-3-319-14075-9_6 ◽

2015 ◽

pp. 193-208

Author(s):

Clifford S. Ang

Keyword(s):

Performance Measures ◽

Portfolio Performance

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A Note on Ambiguity in Portfolio Performance Measures

The Journal of Finance ◽

10.1111/j.1540-6261.1980.tb02208.x ◽

1980 ◽

Vol 35 (5) ◽

pp. 1251-1256 ◽

Cited By ~ 10

Author(s):

DAVID PETERSON ◽

MICHAEL L. RICE

Keyword(s):

Performance Measures ◽

Portfolio Performance

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A Note on the Leverage Effect on Portfolio Performance Measures

Journal of Financial and Quantitative Analysis ◽

10.2307/2330161 ◽

1978 ◽

Vol 13 (3) ◽

pp. 567

Author(s):

James S. Ang

Keyword(s):

Performance Measures ◽

Leverage Effect ◽

Portfolio Performance

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Portfolio Performance Measures: A Brief Survey and Hypothesis Testing

Applied Optimization - Decision Making: Recent Developments and Worldwide Applications ◽

10.1007/978-1-4757-4919-9_10 ◽

2000 ◽

pp. 143-155

Author(s):

G. L. Ghai ◽

T. E. Pactwa ◽

A. J. Prakash

Keyword(s):

Hypothesis Testing ◽

Performance Measures ◽

Portfolio Performance

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Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets

Sustainability ◽

10.3390/su11174618 ◽

2019 ◽

Vol 11 (17) ◽

pp. 4618

Author(s):

María de la O González ◽

Francisco Jareño ◽

Camalea El Haddouti

Keyword(s):

Financial Crisis ◽

Interest Rates ◽

Performance Measures ◽

Stock Markets ◽

Global Financial Crisis ◽

Negative Impact ◽

Performance Comparison ◽

Portfolio Performance ◽

Sample Period ◽

Performance Results

This study compares the performance of sector portfolios from Islamic and conventional stock markets, using standard as well as current performance measures for a recent sample period between January 1996 and December 2015. Furthermore, to test the robustness of our analysis and to determine which type of portfolios offer better performance depending on the economic cycle, the full sample period is divided into three sub-sample periods: Before, during and after the recent global financial crisis. The three main outcomes of this research confirm that, first, the sector with the best performance results is Health Care, while the sector with the worst performance results is Financials for the Islamic as well as the conventional stock market. Second, the post-crisis sub-period exhibits the best performance not only in conventional but also in Islamic markets, confirming that portfolio performance depends on the economic stage and highlighting emerging signs of economic recovery. Third, Islamic sector portfolios, as a whole, show better performance than conventional sector portfolios for all performance measures—not just for the full period but also for the three sub-sample periods. The superior risk-adjusted returns of the Islamic sector portfolios, even during the recent global financial crisis, can be justified, among other reasons, by the moderated uncertainty and speculation, as well as the fact that Islamic finance prevents interest rates that have a negative impact on the economy. Thus, Sharia-compliant assets can contribute to improving the sustainability of unattractive performance portfolios during financial crises.

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