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.

Downside Performance Measures and the Sharpe Ratio

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

scholarly journals Employment Horizon and the Choice of Performance Measures: Empirical Evidence from Annual Bonus Plans of Loss-Making Entities

2009 ◽  
Vol 55 (6) ◽  
pp. 890-905 ◽  
Author(s):  
Michal Matějka ◽  
Kenneth A. Merchant ◽  
Wim A. Van der Stede
Keyword(s):  
Empirical Evidence ◽  
Performance Measures ◽  
Bonus Plans

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

Analysis of Electrocardiogram Data Compression Techniques

2020 ◽  
pp. 930-970
Author(s):  
Anukul Pandey ◽  
Barjinder Singh Saini ◽  
Butta Singh ◽  
Neetu Sood
Keyword(s):  
Performance Evaluation ◽  
Performance Measures ◽  
Parameter Extraction ◽  
Extraction Methods ◽  
Walsh Transform ◽  
Ecg Compression ◽  
And Performance ◽  
Electrocardiogram Ecg ◽  
Ecg Database ◽  
Ecg Data

In this Chapter, a MATLAB-based approach is presented for compression of Electrocardiogram (ECG) data. The methodology employs in three different domains namely direct, transformed and parameter extraction methods. The selected techniques from direct ECG compression methods are TP, AZTEC, Fan, and Cortes. Moreover selected techniques from transformed ECG compression methods are Walsh Transform, DCT, and Wavelet transform. For each of the technique, the basic implementation of the algorithm was explored, and performance measures were calculated. All 48 records of MIT-BIH arrhythmia ECG database were employed for performance evaluation of various implemented techniques. Moreover, based on requirements, any basic techniques can be selected for further innovative processing that may include the lossless encoding.

Societal institutions and control system characteristics: empirical evidence from the UAE

2015 ◽  
Vol 6 (2) ◽  
pp. 268-291 ◽  
Author(s):  
Mayada Abd El-Aziz Youssef ◽  
Essam Moustafa
Keyword(s):  
Performance Evaluation ◽  
Empirical Evidence ◽  
Business Environment ◽  
Management Control ◽  
Survey Method ◽  
Content Type ◽  
The Government ◽  
Business Entities ◽  
And Performance ◽  
And Control

Purpose – This paper aims to explore the existence of two sets of factors societal institutions and management control systems’ (MCS) characteristics in the UAE business entities. Subsequently, this paper empirically examines the bilateral and the multivariate associations between the two sets. The societal institutions include six factors categorised in three main groups: cultural conventions, state structures and policies and skill development and control. The MCS characteristics consist of four factors which are: reliance on formal rules, control over the behaviour of employees, involvement of subordinates in target setting and performance evaluation and scope of information used in performance evaluation. Design/methodology/approach – Whitley’s model (1999) is adopted in the UAE business environment and the analyses are performed at the organisational level. Qualified accounting officials and managers are surveyed. The Kruskal-Wallis test, Spearman’s partial correlation and multiple regression are used for data analyses. Findings – Findings reveal the characteristics of the UAE societal institutions and the MCS in UAE organisations. They also reveal significant associations among four of the societal institution factors and most of the MCS characteristics. The results highlight the role played by the government structures and policies group in influencing the MCS characteristics in the UAE organisations. However, these results do not entirely agree with Whitley’s model. Research limitations/implications – The results of this study are restricted by the typical constraints associated with the survey method. The obtained results have implications for researchers and managers in facilitating the understanding of the relations among the various societal institutions and the MCS characteristics. Originality/value – This research, to the best of the authors’ knowledge, provides significant new empirical evidence into the relation between societal institutions and MCS characteristics in a non-Western economy.

Triple bottom line performance evaluation of reverse logistics

2016 ◽  
Vol 26 (3) ◽  
pp. 289-310 ◽  
Author(s):  
Saurabh Agrawal ◽  
Rajesh Kr Singh ◽  
Qasim Murtaza
Keyword(s):  
Performance Evaluation ◽  
Performance Measures ◽  
Analytical Hierarchy Process ◽  
Reverse Logistics ◽  
Triple Bottom Line ◽  
Fuzzy Analytical Hierarchy Process ◽  
Bottom Line ◽  
Content Type ◽  
Performance Indexes ◽  
Hierarchy Process

Purpose The paper aims to incorporate the relationship of reverse logistics into the economic, environmental, and social sustainability, known as triple bottom line and developed a framework for reverse logistics performance evaluation. Design/methodology/approach The performance measures, based on triple bottom line approach, were selected, and fuzzy analytical hierarchy process and extent analysis approach was applied for estimating the weights, global weights of performance measures and hence, the reverse logistics performance index. Reverse logistics performance of three electronic companies were evaluated and compared for the demonstration of the methodology. Findings The results show that economic performance has highest performance index followed by environmental performance and social performance. “Recapturing value” and “return on investment” from economic, “minimum energy consumption” and “optimum use of raw material” from environmental and “community complaints” and “customer health and safety” from social perspective have higher performance indexes. Over all, “reduced packaging”, “use of recycled material” and “employee benefits” show very poor performance indexes. Research Limitations/implications The study will provide useful guidance to the academicians and practitioners for evaluating, improving and benchmarking the reverse logistics performance. Originality/value The analysis adds to the very few studies on triple bottom line aspects of reverse logistics and its performance evaluation. Also, fuzzy analytical hierarchy process and extent analysis is used first time being an efficient tool to tackle the fuzziness of the data involved in performance evaluation.

scholarly journals Comparing and Monitoring Risk-Adjusted Hospital Performance Measures: A Weighted Estimating Equations Approach

2018 ◽  
Vol 3 (1) ◽  
pp. 238146831876102 ◽  
Author(s):  
Patricia Cooper Barfoot ◽  
R. Jock MacKay ◽  
Stefan H. Steiner
Keyword(s):  
Performance Measures ◽  
Health Care Quality ◽  
Historical Data ◽  
New York State ◽  
Estimating Equations ◽  
Hospital Performance ◽  
Care Quality ◽  
Uncertainty Interval ◽  
Over Time ◽  
Current Practices

Background. There is a great deal of interest in evaluating hospital performance in order to monitor and improve health care quality. Increasingly, risk-adjusted performance measures are available to the public and statistical approaches for estimating these measures are considered. Some methods in use currently are based on 3-year aggregates of data since a small number of cases may lead to imprecise estimates and make it hard for stakeholders to detect differences across hospitals over time. However, if quality changes over time, a measure based on these data is a biased estimate of present performance. Methods. We present an alternative approach (weighted estimating equations [WEE]) for combining historical data in estimation that regulates the tradeoff between bias and precision in the measure of present performance. The WEE approach uses all available historical data through estimating functions that down-weight past data. Results. We compare the WEE approach to two current practices using a realistic dataset of the mortality of patients following an elective percutaneous coronary intervention procedure in New York State who meet certain criteria. The width of the uncertainty interval in the realistic example is up to 65% smaller and the difference is more pronounced for hospitals with a small number of cases. Conclusions. The advantage of this approach extends from the example dataset to other datasets. The WEE approach uses all available data rather than data from an arbitrary 3-year window. The effect of borrowing strength from historical data is a more precise estimate of present performance than current practices. Its advantages are important for the comparison of other aspects of medical performance, including surgical or medical practitioner performance.

scholarly journals Mean-Variance Portfolio Selection with Tracking Error Penalization

Mathematics ◽  
2020 ◽  
Vol 8 (11) ◽  
pp. 1915
Author(s):  
William Lefebvre ◽  
Grégoire Loeper ◽  
Huyên Pham
Keyword(s):  
Portfolio Selection ◽  
Tracking Error ◽  
Efficient Frontier ◽  
Minimum Variance ◽  
Sharpe Ratio ◽  
Portfolio Strategy ◽  
The Mean ◽  
Mean Variance Portfolio ◽  
Mean Variance ◽  
Variance Criterion

This paper studies a variation of the continuous-time mean-variance portfolio selection where a tracking-error penalization is added to the mean-variance criterion. The tracking error term penalizes the distance between the allocation controls and a reference portfolio with same wealth and fixed weights. Such consideration is motivated as follows: (i) On the one hand, it is a way to robustify the mean-variance allocation in the case of misspecified parameters, by “fitting" it to a reference portfolio that can be agnostic to market parameters; (ii) On the other hand, it is a procedure to track a benchmark and improve the Sharpe ratio of the resulting portfolio by considering a mean-variance criterion in the objective function. This problem is formulated as a McKean–Vlasov control problem. We provide explicit solutions for the optimal portfolio strategy and asymptotic expansions of the portfolio strategy and efficient frontier for small values of the tracking error parameter. Finally, we compare the Sharpe ratios obtained by the standard mean-variance allocation and the penalized one for four different reference portfolios: equal-weights, minimum-variance, equal risk contributions and shrinking portfolio. This comparison is done on a simulated misspecified model, and on a backtest performed with historical data. Our results show that in most cases, the penalized portfolio outperforms in terms of Sharpe ratio both the standard mean-variance and the reference portfolio.

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