scholarly journals Evaluation of investment funds through different performance measures

2021 ◽  
Vol 16 (04) ◽  
pp. 39-58
Author(s):  
Dermeval Martins Borges Júnior
Keyword(s):  
Performance Measures ◽  
Fund Performance ◽  
Investment Funds ◽  
Performance Indexes ◽  
Monthly Return ◽  
Equity Funds ◽  
The Subject ◽  
Analysis Of Performance ◽  
Performance Research ◽  
Sortino Ratio

Purpose - The aim of this study is to examine the evaluation of Brazilian equity funds from different performance measures. Theoretical framework - In the literature, several indexes are available that can be used to evaluate the performance of investment funds. Design/methodology/approach - Monthly return data were collected from 1,901 Brazilian equity funds. Fund performance was estimated using four indexes: the Sharpe ratio, the Sortino ratio, Jensen’s alpha, and the Treynor ratio. Findings - The results showed that all four performance measures are positively associated. This means that there are no significant differences in the ranking of Brazilian equity funds in terms of performance. Research, Practical & Social implications - The comparison of different performance indexes contributes to the literature on the subject by providing further data for researchers to adequately define the indexes considered in studies on the performance of funds. Originality/value - This study fills a gap in the literature regarding the analysis of performance measures of investment funds. Keywords - Mutual funds. Equity funds. Performance.

ANALYSIS OF PERFORMANCE MEASURES IN DEVICE ASSISTED ENTEROSCOPY (DAE)

2020 ◽  
Author(s):  
AC Gomes ◽  
R Pinho ◽  
A Ponte ◽  
A Rodrigues ◽  
M Sousa ◽  
...  
Keyword(s):  
Performance Measures ◽  
Analysis Of Performance

scholarly journals Performance measurement models and their influence on net fundraising of investment funds

2018 ◽  
Vol 29 (78) ◽  
pp. 435-451
Author(s):  
Anderson Rocha de J. Fernandes ◽  
Simone Evangelista Fonseca ◽  
Robert Aldo Iquiapaza
Keyword(s):  
Risk Factors ◽  
Fixed Effects ◽  
Time Windows ◽  
Explanatory Power ◽  
Fund Performance ◽  
Capital Asset Pricing ◽  
Investment Funds ◽  
Measurement Models ◽  
Asset Pricing Models ◽  
Two Phases

ABSTRACT This article aims to analyze the relation between third- and fourth-order conditions and risk factors and their adequacy to return, performance, and net fundraising. The factors used to determine fund performance and, consequently, their relation with fundraising are: market return, size, book-to-market, profitability, investment, co-skewness, and co-kurtosis. The funds constituting the sample are those classified as Free Stocks (within the period from April 2001 to April 2015). Methodologically, this study has two phases. The first one refers to estimating the parameters that represent fund sensitivity to the factors and the comparison of the capital asset pricing models (CAPM), Fama-French-Carhart 4-factor (FFC), Fama-French 5-factor (FF5), Fama-French 5-factor with momentum (FF5M), added or not with co-moments, by means of the fixed-effects procedure. The second one deals with verifying the relation between performance and net fundraising. The models were reestimated through moving time windows, so that the alpha calculated on each of them represented fund performance within the immediately subsequent period. We also estimated the relation fundraising-performance through cross-section regressions, with rates and age as control variables. The results showed that the co-skewness and co-kurtosis coefficients are not that relevant for determining performance and net fundraising of investment funds. Among the risk factors, market, size, and momentum are the significant parameters for fund returns. The FFC and FF5M models are those with greater explanatory power regarding return specification. There is also evidence of convexity in the relation between performance and fundraising.

scholarly journals Hedge Fund Performance Using Scaled Sharpe And Treynor Measures

2014 ◽  
Vol 13 (6) ◽  
pp. 1261
Author(s):  
Francois Van Dyk ◽  
Gary Van Vuuren ◽  
Andre Heymans
Keyword(s):  
Hedge Funds ◽  
Performance Metrics ◽  
Estimation Error ◽  
Investment Decision ◽  
Hedge Fund ◽  
Fund Performance ◽  
Performance Measure ◽  
Sharpe Ratio ◽  
Investment Funds ◽  
Additional Information

The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investment funds, but because it is based on mean-variance theory, it only considers the first two moments of a return distribution. It is, therefore, not suited for evaluating funds characterised by complex, asymmetric, highly-skewed return distributions such as hedge funds. It is also susceptible to manipulation and estimation error. These drawbacks have demonstrated the need for new and additional fund performance metrics. The monthly returns of 184 international long/short (equity) hedge funds from four geographical investment mandates were examined over an 11-year period.This study contributes to recent research on alternative performance measures to the Sharpe ratio and specifically assesses whether a scaled-version of the classic Sharpe ratio should augment the use of the Sharpe ratio when evaluating hedge fund risk and in the investment decision-making process. A scaled Treynor ratio is also compared to the traditional Treynor ratio. The classic and scaled versions of the Sharpe and Treynor ratios were estimated on a 36-month rolling basis to ascertain whether the scaled ratios do indeed provide useful additional information to investors to that provided solely by the classic, non-scaled ratios.

scholarly journals Content Analysis of Shariah-Compliant Investment Equity Funds in KSA: Does Social Justice Matter?

2020 ◽  
Vol 15 (6) ◽  
pp. 1 ◽  
Author(s):  
Khaled O. Alotaibi ◽  
Mohammad M. Hariri
Keyword(s):  
Social Justice ◽  
Saudi Arabia ◽  
Content Analysis ◽  
Analysis Method ◽  
Kingdom Of Saudi Arabia ◽  
Investment Funds ◽  
Content Analysis Method ◽  
Equity Funds ◽  
The Ideal

This paper examines the influence of capitalism and globalisation on the role of Shariah-Compliant Investment Funds (SCIFs) in promoting social justice in the Kingdom of Saudi Arabia (KSA) using content analysis method. This is to analyse the Terms and Conditions (T&C) of SCIFs as they appear in Tadawul (Saudi stock market) in 2019 and compared with the findings in 2013. This research critically evaluates the findings of the content analysis through aspects of globalization and insights from the literature review. The content analysis shows that SCIFs in KSA are disjointed and decoupled from Islamic principles and do not fulfil the ideal social justice role in society.

Analysis of Performance of Automotive Exhaust Muffler Based on ANSYS Finite Element

2014 ◽  
Vol 509 ◽  
pp. 118-122 ◽  
Author(s):  
Jian Hui Ma ◽  
Peng Guo
Keyword(s):  
Power Loss ◽  
Simulation Analysis ◽  
Low Cost ◽  
Engine Exhaust ◽  
Experiment Method ◽  
Exhaust Noise ◽  
And Performance ◽  
Analysis Of Performance ◽  
Performance Research ◽  
Engine Power

At present, the control of the automobile engine exhaust noise is mainly installed exhaust muffler. Muffler design and performance research mainly around the silencing performance and the influence to engine power loss. This article built the 3d modeling of automobile exhaust muffler and through simulation analysis obtained the muffler internal acoustic pressure distribution and changes of insertion loss with frequency. Predict the silencer muffler performance as well as the influence on engine power loss. Provide a reference basis for the design of the silencer and optimization. Compared to the traditional experiment method, the method in this article has the advantages of short cycle, low cost.

THE ALLOCATION OF CUSTOMERS IN A DISCRETE-TIME MULTI-SERVER QUEUEING SYSTEM

2010 ◽  
Vol 27 (06) ◽  
pp. 649-667 ◽  
Author(s):  
WEI SUN ◽  
NAISHUO TIAN ◽  
SHIYONG LI
Keyword(s):  
Performance Measures ◽  
Discrete Time ◽  
Queueing System ◽  
Arrival Rate ◽  
Allocation Problem ◽  
Optimal Outcome ◽  
The Subject ◽  
Multi Server ◽  
Theoretical Results

This paper, analyzes the allocation problem of customers in a discrete-time multi-server queueing system and considers two criteria for routing customers' selections: equilibrium and social optimization. As far as we know, there is no literature concerning the discrete-time multi-server models on the subject of equilibrium behaviors of customers and servers. Comparing the results of customers' distribution at the servers under the two criteria, we show that the servers used in equilibrium are no more than those used in the socially optimal outcome, that is, the individual's decision deviates from the socially preferred one. Furthermore, we also clearly show the mutative trend of several important performance measures for various values of arrival rate numerically to verify the theoretical results.

Correlation analysis of performance measures for multi-label classification

2018 ◽  
Vol 54 (3) ◽  
pp. 359-369 ◽  
Author(s):  
Rafael B. Pereira ◽  
Alexandre Plastino ◽  
Bianca Zadrozny ◽  
Luiz H.C. Merschmann
Keyword(s):  
Correlation Analysis ◽  
Performance Measures ◽  
Analysis Of Performance
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