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 Understanding Portfolio Efficiency with Conditioning Information

2016 ◽  
Vol 51 (3) ◽  
pp. 985-1011 ◽  
Author(s):  
Francisco Peñaranda
Keyword(s):  
Sharpe Ratio ◽  
Pricing Models ◽  
Asset Return ◽  
Conditional Mean ◽  
Portfolio Strategies ◽  
Asset Pricing Models ◽  
Fixed Weight ◽  
Portfolio Efficiency ◽  
Conditioning Information ◽  
Mean Variance

AbstractI develop two new types of portfolio efficiency when returns are predictable. The first type maximizes the unconditional Sharpe ratio of excess returns and differs from unconditional efficiency unless the safe asset return is constant over time. The second type maximizes conditional mean-variance preferences and differs from unconditional efficiency unless, additionally, the maximum conditional Sharpe ratio is constant. Using stock data, I quantify and test their performance differences with respect to unconditionally and fixed-weight efficient returns. I also show the relevance of the two new portfolio strategies to test conditional asset pricing models.

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.

The Role of Managerial Fit in Determining Organizational Performance: An Empirical Assessment of Presidents in U.S. Higher Education

2016 ◽  
Vol 47 (7) ◽  
pp. 764-778 ◽  
Author(s):  
Amanda Rutherford
Keyword(s):  
Organizational Performance ◽  
Student Performance ◽  
Performance Measures ◽  
Time Series Data ◽  
University Presidents ◽  
Change Agents ◽  
Series Data ◽  
Cross Sectional ◽  
Person Organization Fit

The question of managerial fit—the congruence between a manager and his or her environment—has become widely debated by policymakers, practitioners, and scholars from a number of fields as the occurrence of non-internal management hires has increased across many types of organizations. Although many assume that higher levels of fit in an organization will generate better performance, others argue that misfits are better suited at leading organizations as motivated change agents. In this study, a measure of person–organization fit is created using original cross-sectional time-series data on U.S. university presidents from 1993 to 2009. Findings indicate that maximizing fit is not always ideal and that fit has a nonlinear relationship with organizational performance such that some fit is healthy but high fit can be detrimental for student performance measures.

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

Psychological Resilience Provides No Independent Protection From Suicidal Risk

Crisis ◽  
2016 ◽  
Vol 37 (2) ◽  
pp. 130-139 ◽  
Author(s):  
Danica W. Y. Liu ◽  
A. Kate Fairweather-Schmidt ◽  
Richard Burns ◽  
Rachel M. Roberts ◽  
Kaarin J. Anstey
Keyword(s):  
Risk Factors ◽  
Well Being ◽  
Current Status ◽  
Psychological Resilience ◽  
Cross Sectional ◽  
Life Project ◽  
Resilience Factors ◽  
First Time

Abstract. Background: Little is known about the role of resilience in the likelihood of suicidal ideation (SI) over time. Aims: We examined the association between resilience and SI in a young-adult cohort over 4 years. Our objectives were to determine whether resilience was associated with SI at follow-up or, conversely, whether SI was associated with lowered resilience at follow-up. Method: Participants were selected from the Personality and Total Health (PATH) Through Life Project from Canberra and Queanbeyan, Australia, aged 28–32 years at the first time point and 32–36 at the second. Multinomial, linear, and binary regression analyses explored the association between resilience and SI over two time points. Models were adjusted for suicidality risk factors. Results: While unadjusted analyses identified associations between resilience and SI, these effects were fully explained by the inclusion of other suicidality risk factors. Conclusion: Despite strong cross-sectional associations, resilience and SI appear to be unrelated in a longitudinal context, once risk/resilience factors are controlled for. As independent indicators of psychological well-being, suicidality and resilience are essential if current status is to be captured. However, the addition of other factors (e.g., support, mastery) makes this association tenuous. Consequently, resilience per se may not be protective of SI.

Testing the Strain Theory of Suicide – The Moderating Role of Social Support

Crisis ◽  
2020 ◽  
Vol 41 (2) ◽  
pp. 82-88 ◽  
Author(s):  
Bob Lew ◽  
Ksenia Chistopolskaya ◽  
Yanzheng Liu ◽  
Mansor Abu Talib ◽  
Olga Mitina ◽  
...  
Keyword(s):  
Social Support ◽  
Suicidal Behavior ◽  
Online Survey ◽  
Perceived Social Support ◽  
Strain Theory ◽  
Cross Sectional Survey ◽  
Cross Sectional ◽  
Psychological Strains ◽  
Moderating Role

Abstract. Background: According to the strain theory of suicide, strains, resulting from conflicting and competing pressures in an individual's life, are hypothesized to precede suicide. But social support is an important factor that can mitigate strains and lessen their input in suicidal behavior. Aims: This study was designed to assess the moderating role of social support in the relation between strain and suicidality. Methods: A sample of 1,051 employees were recruited in Beijing, the capital of China, through an online survey. Moderation analysis was performed using SPSS PROCESS Macro. Social support was measured with the Multidimensional Scale of Perceived Social Support, and strains were assessed with the Psychological Strains Scale. Results: Psychological strains are a good predictor of suicidality, and social support, a basic need for each human being, moderates and decreases the effects of psychological strains on suicidality. Limitations: The cross-sectional survey limited the extent to which conclusions about causal relationships can be drawn. Furthermore, the results may not be generalized to the whole of China because of its diversity. Conclusion: Social support has a tendency to mitigate the effects of psychological strains on suicidality.

Role of Sildenafil in the Treatment of Persistent Pulmonary Hypertension of Newborn (PPHN) - Should it Be Withdrawn from Market of Bangladesh due to Threat of being Misuses

2020 ◽  
Vol 35 (2) ◽  
pp. 100-104
Author(s):  
Maksudur Rahman ◽  
Mohammad Abdullah Al Mamun ◽  
MAK Azad Chowdhury ◽  
Abu Sayeed Munsi
Keyword(s):  
Intensive Care Unit ◽  
Intensive Care ◽  
Neonatal Intensive Care ◽  
Cross Sectional Study ◽  
Sectional Study ◽  
Cardiac Intensive Care Unit ◽  
Cross Sectional ◽  
Cardiac Intensive Care ◽  
Hospital Protocol

Background: Recently it has been apprehended that sildenafil, a drug which has been successfully using in the treatment of PPHN and erectile dysfunction in adult, is going to be withdrawn from the market of Bangladesh due to threat of its misuses. Objective: The aim of this study was to see the extent of uses of sildenafil in the treatment of PPHN and importance of availability of this drugs in the market inspite of its probable misuses. Methods: This cross sectional study was conducted in neonatal intensive care unit (NICU), special baby care unit (SCABU) and cardiac intensive care unit (CICU) of Dhaka Shishu (Children) Hospital from June, 2017 to May 2018. Neonates with PPHN were enrolled in the study. All cases were treated with oral sildenefil for PPHN along with others management according to hospital protocol. Data along with other parameters were collected and analyzed. Results: Total 320 patients with suspected PPHN were admitted during the study period. Among them 92 (29%) cases had PPHN. Male were 49(53 %) cases and female were 43(47%) cases. Mean age at hospital admission was 29.7±13.4 hours. Based on echocardiography,13(14%) cases had mild, 38 (41%) cases moderate and 41(45%) cases severe PPHN. Mean duration of sildenafil therapy was 11.9±7.1 days. Improved from PPHN were 83 (90%) cases. Mortality was 10% (9). Conclusion: In this study it was found that the incidence of PPHN is 29% among the suspected newborns. Sildenafil is successfull in improving the oxygenation of PPHN and to decrease the mortality of neonates. DS (Child) H J 2019; 35(2) : 100-104

Role of Fibrinolytic Therapy in Empyema Thoracis – A Hospital Based one year Cross Sectional Study

2012 ◽  
Vol 2 (2) ◽  
pp. 345-350
Author(s):  
Dr. Girish.L Dandagi ◽  
◽  
Venkat kalyana kumar. P ◽  
Dr. Dr.Isaac Mathew ◽  
Dr. Dr.G S Gaude Dr. Dr.G S Gaude
Keyword(s):  
Cross Sectional Study ◽  
Fibrinolytic Therapy ◽  
Empyema Thoracis ◽  
Sectional Study ◽  
Cross Sectional ◽  
One Year
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