Informationless Trading and Biases in Performance Measurement: Inefficiency of the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio and DEA-Based Performance Measures and Related Measures

2018 ◽  
pp. 233-265 ◽  
Author(s):  
Michael I. C. Nwogugu
Keyword(s):  
Performance Measurement ◽  
Performance Measures ◽  
Sharpe Ratio ◽  
Information Ratio

Are Islamic indices a viable investment avenue? An empirical study of Islamic and conventional indices in India

2020 ◽  
Vol 13 (3) ◽  
pp. 503-518
Author(s):  
Mahfooz Alam ◽  
Valeed Ahmad Ansari
Keyword(s):  
Performance Measures ◽  
Factor Model ◽  
Small Sample Size ◽  
Sharpe Ratio ◽  
Small Sample ◽  
Superior Performance ◽  
Information Ratio ◽  
Comparative Performance ◽  
Content Type ◽  
Faith Based

Purpose This study aims to empirically compare the performance of Islamic indices vis-à-vis to their conventional counterparts in India. Design/methodology/approach The performance of the Islamic and selected conventional indices is evaluated using various risk-adjusted performance measures such as Sharpe ratio, Treynor ratio, M-square (M2) ratio, information ratio, capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four-factor model in India context. The period of study is from December 2006 to 2018. Findings The risk-adjusted performance measures based on the Sharpe ratio, Treynor ratio, information ratio, the M2 ratio show that the return of Islamic indices provides slightly superior performance. However, performance investigated using CAPM, Fama-French and Carhart benchmarks produce a statistically insignificant differences in return of the Islamic and conventional benchmarks. Research limitations/implications The Sharīʿah-compliant indices can provide a viable, ethical and alternative investment avenue for faith-based investors as it will not make them worse off in comparison to the conventional benchmarks. This also offers opportunity to conventional investors for portfolio diversification. The promotion of faith-based investment can serve as a tool for financial inclusion to attract a huge segment of Indian population in the formal financial system. The findings of the study suffer from the limitation of small sample size and empirical methods used. Originality/value This study contributes to the literature on the comparative performance of Islamic and conventional indices in general and emerging markets, in particular, using most recent data and covering a relatively long span of time. To the best of the knowledge, this is the first comprehensive study examining the performance of Islamic indices, using multiple Islamic indices and various risk-adjusted measures in the Indian context.

Downside Performance Measures and the Sharpe Ratio

2019 ◽  
Author(s):  
Benedikt Hoechner ◽  
Peter Reichling ◽  
Gordon Schulze
Keyword(s):  
Performance Measures ◽  
Sharpe Ratio

Performance measurement for supply chain management and quality management integration

2019 ◽  
Vol 27 (7) ◽  
pp. 2130-2147 ◽  
Author(s):  
Marcio C. Machado ◽  
Renato Telles ◽  
Paulo Sampaio ◽  
Maciel M. Queiroz ◽  
Ana Cristina Fernandes
Keyword(s):  
Supply Chain ◽  
Supply Chain Management ◽  
Quality Management ◽  
Performance Measurement ◽  
Performance Measures ◽  
Chain Management ◽  
Content Type ◽  
Theoretical Perspectives ◽  
Overall Performance ◽  
Key Aspects

Purpose The purpose of this paper is to present a conceptual framework for performance measurement (PM) for the integration of supply chain management (SCM) and quality management (QM). Design/methodology/approach A systematic literature review on SCM and QM was conducted to develop key performance measures related to six areas of integration between QM and SCM: leadership; continuous improvement and innovation; sustainability performance; stakeholders; information system; and management and strategic planning. Findings Supported by the literature concerning to supply chain quality management (SCQM) integration, a set of nine propositions about performance measures, that contribute to the integration of SCQM, were developed. Originality/value This study contributes to QM practices within a supply chain environment from an integrated perspective. Additionally, the propositions have significant implications from both managerial and theoretical perspectives. This study also extends the concept of supply chain quality integration by focusing on key aspects of PM that may help to improve the overall performance of the supply chain.

Systematic Approach to Measuring ILI Tool Performance

2014 ◽  
Author(s):  
Sean Keane ◽  
Karmun Cheng ◽  
Kaitlyn Korol
Keyword(s):  
Performance Measurement ◽  
Performance Measures ◽  
New Technologies ◽  
Efficient Reduction ◽  
Tool Performance ◽  
Typical Performance ◽  
Substantial Investment ◽  
Integrity Management ◽  
Insight Into

In-line inspection (ILI) tools play an important role within integrity management and substantial investment is made to continuously advance performance of the existing technologies and, where necessary, to develop new technologies. Performance measurement is typically focused for the purpose of understanding the measured performance in relation to the ILI vendor specification and for the determination of residual uncertainty regarding pipeline integrity. These performance measures may not provide the necessary insight into what type of investment into a technology is necessary to further reduce residual uncertainty regarding pipeline integrity, and beyond that, what investment, as an operator, results in an effective and efficient reduction in uncertainty. The paper proposes a reliability based approach for investigating uncertainty associated with ultrasonic crack ILI technology for the purpose of identifying efficient investment into the technology that results in an effective and measurable improvement. Typical performance measures and novel performance measurement methods are presented and reviewed with respect to what information they can provide to assist in investment decisions. Finally, general observations are made regarding Enbridge’s experience using ultrasonic crack ILI technology and areas currently being investigated.

scholarly journals Risk-adjusted return, fund manager efficacy, and fund characteristics – An inquiry

2021 ◽  
Author(s):  
Riyazahmed K
Keyword(s):  
Regression Analysis ◽  
Mutual Funds ◽  
Fund Performance ◽  
Sharpe Ratio ◽  
Information Ratio ◽  
Fund Manager ◽  
Data Set ◽  
Dependent Variables ◽  
Corpus Size ◽  
The Impact

Abstract In this study, I examine the risk-adjusted return of mutual funds in India. A data set of 4220 mutual funds is used for the analysis. Sharpe ratio, a metric of risk-adjusted return (Sharpe, 1994) and Information ratio, a metric of outperformance than a fund’s benchmark (Goodwin, 1998) were analyzed. Regression analysis is used to estimate the impact of fund characteristics like fund category, fund type, fund access type, corpus size on the dependent variables i.e., Sharpe Ratio and the Information Ratio. All the funds underperformed in both the Sharpe ratio and Information ratio. Liquid funds found worst. Fund type and corpus size do not impact fund performance. Fund access type was found to be significant on fund performance. The results add to the literature by examining the post-pandemic period.

When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio

2011 ◽  
Vol 11 (10) ◽  
pp. 1439-1447 ◽  
Author(s):  
Li Chen ◽  
Simai He ◽  
Shuzhong Zhang
Keyword(s):  
Performance Measures ◽  
Sharpe Ratio

Performance Measurement in Surgery

2016 ◽  
Author(s):  
Justin B. Dimick
Keyword(s):  
Gastric Bypass ◽  
Performance Measurement ◽  
Outcome Measures ◽  
Performance Measures ◽  
Laparoscopic Gastric Bypass ◽  
Quality Measures ◽  
Technical Skill ◽  
Process Of Care ◽  
Surgical Quality ◽  
Health Care Structure

With growing recognition that the quality of surgical care varies widely, good measures of performance are in high demand. An ever-broadening array of performance measures is being developed to meet these different needs; however, considerable uncertainty remains about which measures are most useful for measuring surgical quality. Current measures encompass different elements of health care structure, process of care, and patient outcomes. This review covers overview of surgical quality measures, categories of quality measures, structural measures of quality, process of care measures, direct outcome measures, matching the measure to the purpose, improving existing performance measures, and the future of performance measurement. Figures show relative ability of historical (2005-2006) measures of hospital volume and risk-adjusted mortality to predict subsequent (2007-2008) risk-adjusted mortality in US Medicare patients,  risk-adjusted mortality and morbidity for colon resection at individual hospitals before and after adjustment for reliability, variation in surgeon technical skill for 20 bariatric surgeons performing laparoscopic gastric bypass in the Michigan Bariatric Surgery Collaborative (MBSC), and relationship of surgeon technical skill and risk-adjusted complications and resource use after laparoscopic gastric bypass in the MBSC. The table lists primary strengths and limitations of structure, process, and outcome measures.   This review contains 4 highly rendered figures, 1 table, and 34 references

Tailoring the Weights on Objective versus Subjective Performance Measures between Top Management and Middle Managers: Evidence from Performance-Based Equity Incentive Plans

2019 ◽  
Vol 32 (3) ◽  
pp. 49-70
Author(s):  
Clara Xiaoling Chen ◽  
Yongjing Gao ◽  
Yue Wang ◽  
Shuang Xue
Keyword(s):  
Performance Measurement ◽  
Performance Measures ◽  
Price Competition ◽  
Middle Managers ◽  
Cost Benefit ◽  
Top Management ◽  
Public Firms ◽  
Organizational Stability ◽  
Incentive Plans ◽  
Equity Incentive

ABSTRACT This study examines the determinants of performance measurement tailoring between top management and middle managers in compensation contracts. Theoretically, while tailoring potentially enhances the informativeness of performance measures for top management and middle managers respectively, it may reduce the incentives for the two parties to coordinate with each other. We expect a firm's decision to tailor performance measurement between top management and middle managers to be driven by this cost-benefit trade-off. Using hand-collected data from performance-based equity incentive plans from Chinese public firms, we find evidence consistent with the predictions derived from our theoretical framework. Specifically, we find that the likelihood that a firm tailors the weights on objective versus subjective performance measures between top and middle managers increases with competition intensity, non-price competition, environmental uncertainty, and CEO power, and decreases with organizational stability and growth opportunity. Furthermore, we find that suboptimal tailoring decisions are associated with higher management turnover.

The Fifth Perspective

2010 ◽  
pp. 2378-2388
Author(s):  
Preeti Goyal ◽  
Bhimaraya A. Metri
Keyword(s):  
Performance Measurement ◽  
Performance Measures ◽  
Balanced Scorecard ◽  
Business Process Outsourcing ◽  
Organizational Boundaries ◽  
Strategic Objectives ◽  
The Balanced Scorecard ◽  
Measurement Framework ◽  
External Relationships ◽  
New Perspective

Today, alliances, collaborations, and networks are synonymous with strategy. Business process outsourcing (BPO) is one such type of alliance. With increasing reliance on outsourcing, the organizational boundaries are blurring. The implications for the client organization can be tremendous, as it now relies on an outside organization to fulfill its operational objectives. Currently, there is no single framework that can effectively measure performance for BPO arrangements. In its present form, the balanced scorecard (BSC) only addresses the performance measurement needs of a single enterprise and any perspective on any external relationships is completely missing. The traditional BSC does not suffice as a performance measurement framework for BPO. While both the client and the vendor can use a BSC for their respective organizations, the strategic objectives of the organizations may not be met. In this article the authors propose a new perspective as an extension to the BSC, namely, the goals alignment perspective. Goals alignment of the two organizations will enable creation of performance measures that will help participating organizations to achieve their respective goals.

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