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

Downside Performance Measures and the Sharpe Ratio

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

ON THE ROLE OF SKEWNESS, KURTOSIS, AND THE LOCATION AND SCALE CONDITION IN A SHARPE RATIO PERFORMANCE EVALUATION SETTING

2015 ◽  
Vol 18 (06) ◽  
pp. 1550037 ◽  
Author(s):  
BENJAMIN R. AUER
Keyword(s):  
Performance Measures ◽  
Fund Performance ◽  
Sharpe Ratio ◽  
Investment Fund ◽  
Return Distribution ◽  
Cross Sectional ◽  
Asset Return ◽  
Mean Variance ◽  
Skewness And Kurtosis

In recent years, researchers and practitioners have invested considerable effort in the development of new investment fund performance measures that account for mean, variance and the higher moments of the return distribution. To justify the application and necessity of the new performance measures in decision-making, some authors argue that the theoretical conditions required to use the Sharpe ratio are violated by high skewness and kurtosis in empirical asset return data. In this note, we highlight that high levels of skewness and kurtosis and even cross-sectional variations in skewness and kurtosis do not allow a decision-theoretic rejection of the Sharpe ratio. However, we also point out that while it is hard to discard the measure on decision-theoretic grounds, it can be challenged on technical grounds because it has several undesirable properties.

scholarly journals New Evidence On Hedge Fund Performance Measures

2011 ◽  
Vol 8 (11) ◽  
Author(s):  
Komlan Sedzro
Keyword(s):  
Data Envelopment Analysis ◽  
Performance Measures ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Fund Performance ◽  
Sharpe Ratio ◽  
Data Envelopment ◽  
Sharpe Ratios ◽  
Hedge Fund Performance ◽  
New Evidence

Hedge funds are still relatively unfamiliar to most investors despite the intense popularity they have enjoyed in recent years. Measuring the performance of these financial instruments using traditional methods is, however, problematic, since their returns do not follow a normal distribution. In this study, we consider rankings obtained with the Stochastic Dominance (SD) method and compare them with ranks produced using Sharpe Ratios, Modified Sharpe Ratios, and Data Envelopment Analysis. We also explore the advantages highlighted by the literature of the Data Envelopment Analysis (DEA) method in relation to traditional measures like Sharpe ratio and Modified Sharpe ratio. Our results show that classic performance measures are better correlated with SD than DEA results.

scholarly journals Mutual fund Performance in Nepalese Mutual fund units: An analysis of Monthly Returns

2017 ◽  
Vol 3 (2) ◽  
pp. 92-100
Author(s):  
Rajan Bilas Bajracharya
Keyword(s):  
Mutual Funds ◽  
Performance Measures ◽  
Mutual Fund ◽  
Statistical Models ◽  
Stock Exchange ◽  
Academic Research ◽  
Fund Performance ◽  
Sharpe Ratio ◽  
Mutual Fund Performance ◽  
Small Market

Mutual funds dwell in a small market in Nepal. Around seven mutual funds listed in the Nepal stock exchange trade (NEPSE). This paper focused on evaluating the performance of five mutual funds of NEPSE on the basis of monthly returns compared to benchmark return. Risk adjusted performance measures suggested by Jenson, Treynor, Sharpe and statistical models are employed. It is found that, most of the mutual funds have performed better according to Jenson and Treynor measures but not up to the benchmark on the basis of Sharpe ratio. However, few mutual funds are well diversified and have reduced its unique risk.  Journal of Advanced Academic Research Vol. 3, No. 2, 2016, Page: 92-100

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.

scholarly journals The Analysis of Mutual Funds’ Performance in Lithuanian Financial Market

2017 ◽  
Author(s):  
Povilas Vyšniauskas ◽  
Viktorija Stasytytė
Keyword(s):  
Financial Markets ◽  
Mutual Funds ◽  
Financial Market ◽  
Performance Measures ◽  
Sharpe Ratio ◽  
Risk And Return ◽  
Time Period

This Article examines performance of mutual funds, which are available for Lithuanian investors in Lithuanian financial market to invest in. Lithuanian mutual funds market is very new comparing with the global financial markets. Majority of mutual funds in Lithuania are imported by Scandinavian banks as well as internationally managed, only few mutual funds are managed in Lithuania. The analysis includes Lithuanian and non-Lithuanian mutual funds in Lithuanian financial market. Period from 2008 to 2016 is analysed in order to get significant results. This study aims to analyse the performances of mutual funds in Lithuanian market on the basis of risk and return criteria using different tools such as Sharpe ratio, Treynor ratio, and Jensen Alpha and others. Also there is analysed variation of these performance measures during selected time period, and discovered periods, when mutual funds perform above and below than market indices.

Comparing nexus of ranking among mutual fund categories and families of performance measures at investment policy level

2020 ◽  
Vol 07 (02) ◽  
pp. 2050021
Author(s):  
Wajid Shakeel Ahmed ◽  
Jibran Sheikh ◽  
Adil Tahir Paracha
Keyword(s):  
Mutual Funds ◽  
Performance Measures ◽  
Mutual Fund ◽  
Rank Order ◽  
Sharpe Ratio ◽  
Investment Policy ◽  
Spearman Rank Order Correlation ◽  
Policy Level ◽  
Ranking Order ◽  
Normal Trend

The aim of the study covers, at first, the rank comparison drawn among mutual funds at categorical and investment policy level and secondly, among the selected three families of performance measures against famous Sharpe ratio. The Spearman rank order correlation and mean rank order approach have been used for this purpose. The major findings of the study reveal that the most of the performance measures have shown a similar ranking order of mutual funds, at the investment policy level, against the standard measure i.e., Sharpe ratio. However, funds that have shown a non-normal trend, led to misspecification syndrome.

A Timing Strategy for Investments in U.S. Hospitality Stocks

2010 ◽  
Vol 36 (3) ◽  
pp. 283-311 ◽  
Author(s):  
Chen Ming-Hsiang
Keyword(s):  
Performance Evaluation ◽  
Empirical Evidence ◽  
Discount Rate ◽  
Performance Measures ◽  
Historical Data ◽  
Investment Strategy ◽  
Sharpe Ratio ◽  
Market Portfolio ◽  
Portfolio Strategy ◽  
Hospitality Sector

Historical data for the period from January 2, 1973 to May 30, 2008 show that U.S. airline, hotel, restaurant, and travel and leisure sector indices underperformed the market portfolio (S&P 500) in terms of the Sharpe ratio. This result suggests that simply buying and holding hospitality sector stocks is a poor investment strategy. It is necessary for hospitality stock investors to find a method of improving their investments in U.S. hospitality sector stocks. This study offers a timing strategy for investing in U.S. hospitality sector stocks. Directional changes in the Fed discount rate signal when to buy or sell stocks of different hospitality sectors. Accordingly, a timing strategy is formulated and its performance relative to a passive buy-and-hold (market portfolio) strategy is examined with five risk-adjusted performance measures. Empirical evidence derived from the daily trading data over a 35-year period generally supports the superiority of the proposed timing strategy for investments in hotel, restaurant, and travel and leisure sector stocks over the buy-and-hold strategy based on various risk-adjusted performance evaluation methods.

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