scholarly journals Performance Appraisal of Open-ended Equity Funds in Pakistan: An alternative Approaches of Performance Measure

2020 ◽  
Vol 8 (1) ◽  
pp. 18-40
Author(s):  
Syed Zakir Abbas Zaidi ◽  
Keyword(s):  
Standard Deviation ◽  
Normal Distribution ◽  
Performance Appraisal ◽  
Asset Management ◽  
Performance Measure ◽  
Sharpe Ratio ◽  
Skewed Distribution ◽  
Equity Funds ◽  
Alternative Approaches ◽  
Omega Ratio

There are more than one hundred portfolio performances, which have been proposed in financial literature, (Cogneau and Hubner, 2009), but extensively used performance measure is a Sharpe ratio and in Pakistan Asset Management Companies (AMCs) also prefer to exhibit their performance in Sharpe ratio. However, financial literature has ample of evidence that recommend Sharpe ratio is valid under normal distribution of returns. The financial returns are not distributed normally as result of which standard deviation may not adequately measure risk (Bodie et al., 2009). Whereas, standard deviation of negatively skewed distribution underestimates and positively skewed overestimates volatility that would be misleading Sharpe index. In this study, we concluded that for skewed and non-normal distribution Omega ratio or Sharpe-Omega are alternative performance measures.

Risk-Managed Momentum: An Evidence from Indian Stock Market

2021 ◽  
pp. 231971452110230
Author(s):  
Simarjeet Singh ◽  
Nidhi Walia ◽  
Pradiptarathi Panda ◽  
Sanjay Gupta
Keyword(s):  
Stock Market ◽  
Asset Management ◽  
Stock Exchange ◽  
Sharpe Ratio ◽  
Relative Momentum ◽  
Extended Time ◽  
Momentum Strategies ◽  
Momentum Profits ◽  
Indian Stock Market ◽  
Time Frames

Relative momentum strategies yield large and substantial profits in the Indian Stock Market. Nevertheless, relative momentum profits are negatively skewed and prone to occasional severe losses. By taking into consideration 450 stocks listed on the Bombay Stock Exchange, the present study predicts the timing of these huge momentum losses and proposes a simple risk-managed momentum approach to avoid these losses. The proposed risk-managed momentum approach not only doubles the adjusted Sharpe ratio but also results in significant improvements in downside risks. In contrast to relative momentum payoffs, risk-managed momentum payoffs remain substantial even in extended time frames. The study’s findings are particularly relevant for asset management companies, fund houses and financial academicians working in the area of asset anomalies.

scholarly journals An Improved Machine Learning-Based Employees Attrition Prediction Framework with Emphasis on Feature Selection

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1226
Author(s):  
Saeed Najafi-Zangeneh ◽  
Naser Shams-Gharneh ◽  
Ali Arjomandi-Nezhad ◽  
Sarfaraz Hashemkhani Zolfani
Keyword(s):  
Machine Learning ◽  
Feature Selection ◽  
Standard Deviation ◽  
Analytical Formula ◽  
Feature Selection Method ◽  
Selection Method ◽  
Performance Measure ◽  
Learning Approaches ◽  
Training Costs ◽  
Professional Employees

Companies always seek ways to make their professional employees stay with them to reduce extra recruiting and training costs. Predicting whether a particular employee may leave or not will help the company to make preventive decisions. Unlike physical systems, human resource problems cannot be described by a scientific-analytical formula. Therefore, machine learning approaches are the best tools for this aim. This paper presents a three-stage (pre-processing, processing, post-processing) framework for attrition prediction. An IBM HR dataset is chosen as the case study. Since there are several features in the dataset, the “max-out” feature selection method is proposed for dimension reduction in the pre-processing stage. This method is implemented for the IBM HR dataset. The coefficient of each feature in the logistic regression model shows the importance of the feature in attrition prediction. The results show improvement in the F1-score performance measure due to the “max-out” feature selection method. Finally, the validity of parameters is checked by training the model for multiple bootstrap datasets. Then, the average and standard deviation of parameters are analyzed to check the confidence value of the model’s parameters and their stability. The small standard deviation of parameters indicates that the model is stable and is more likely to generalize well.

scholarly journals Design of a New Synthetic Acceptance Sampling Plan

Symmetry ◽  
2018 ◽  
Vol 10 (11) ◽  
pp. 653 ◽  
Author(s):  
Saeed Dobbah ◽  
Muhammad Aslam ◽  
Khushnoor Khan
Keyword(s):  
Standard Deviation ◽  
Normal Distribution ◽  
Operating Characteristic ◽  
Linear Optimization ◽  
Sampling Plan ◽  
Quality Characteristic ◽  
Acceptance Sampling ◽  
Acceptance Sampling Plan ◽  
Non Linear

In this paper, we propose a new synthetic sampling plan assuming that the quality characteristic follows the normal distribution with known and unknown standard deviation. The proposed plan is given and the operating characteristic (OC) function is derived to measure the performance of the proposed sampling plan for some fixed parameters. The parameters of the proposed sampling plan are determined using non-linear optimization solution. A real example is added to explain the use of the proposed plan by industry.

scholarly journals Verification of normal distribution of welding distortions

2019 ◽  
Vol 91 (3) ◽  
Author(s):  
Damian Grzesiak ◽  
Jarosław Plichta
Keyword(s):  
Statistical Analysis ◽  
Standard Deviation ◽  
Normal Distribution ◽  
Sheet Metal ◽  
Welding Process ◽  
Experiment Planning ◽  
Geometrical Parameters ◽  
Butt Welds ◽  
Planning Methods ◽  
Smirnov Test

The aim of this paper is to answer the question of the distribution of welding distortions. The MIG method was used to make 31 butt welds of 0H18N9 sheet metal, of 6 mm thickness and dimensions 150x350 mm. All joints are made with constant parameters of the welding process. Statistical analysis of the distribution and Kolomogorov-Smirnov test were used in this paper. On the grounds of the analysis it was proved that the distribution of welding deformations is a normal distribution. This justifies the use of experiment planning methods and the use of average values. The relatively high value of the standard deviation makes it necessary to take into account the geometrical parameters of the joint.

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 Evaluation of Mutual Funds Performance And Consistency test over the use of Performance Sizing Methods

2020 ◽  
Vol 5 (6) ◽  
pp. 650-656
Author(s):  
Eka Kusumawati ◽  
Ega Bagja Nugraha
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Sharpe Ratio ◽  
Superior Performance ◽  
Ratio Method ◽  
Surveillance Period ◽  
Consistency Test ◽  
Asset Value ◽  
Equity Funds ◽  
Coefficient Of Concordance

The development of mutual fund industry in Indonesia has increases every year. From those several types of equity funds, the Net Asset Value (NAV) of mutual funds has increased by quite high number from year to year compared to other types. This research was assess the performance of mutual funds and examine those several consistency over the use of performance sizing methods from Sharpe ratio, Treynor index and Jensen's Alpha methods. Current problem who was stumbled was how the performance of stock mutual funds was measured by the Sharpe ratio, Treynor index and Jensen's Alpha methods and whether there has consistency over its performance by using it. The recent sample was 37 mutual funds that were registered at BAPEPAM-LK and still operating in Indonesia from January 2009 to October 2013. Performance evaluations used Sharpe ratio method, Treynor index and Jensen's Alpha. As for assess those consistency of the use performance sizing methods was done by Kendall coefficient of concordance (W) test. The result over this research said that Panin Dana Maksima and Panin Dana Prima are the best mutual funds, this could be seen during these surveillance period which found that mutual fund has superior performance above the market. The result of consistency test over those performance of stock mutual funds using Kendall W's concordance coefficient found that there has consistency or harmony when evaluated the performance of equity funds by using Sharpe Ratio, Treynor Index and Jensen's Alpha methods during those period.

Petroleum Exploration Risk in Prospect Portfolio Selection

2017 ◽  
pp. 40-65
Keyword(s):  
Standard Deviation ◽  
Portfolio Selection ◽  
Six Sigma ◽  
Efficient Frontier ◽  
Sharpe Ratio ◽  
Petroleum Exploration ◽  
Management Approach ◽  
Portfolio Optimisation ◽  
Exploration Risk ◽  
Return Variance

Presented method is applied to petroleum exploration for prospect portfolio selection to achieve investment objectives controlling risk. DMAIC framework applies stochastic techniques to risk management. Optimisation resolves Efficient Frontier of portfolios for desired range of expected return with initially defined increment. Simulation measures Efficient Frontier portfolios calculating mean return, variance, standard deviation, Sharpe Ratio, and Six Sigma metrics versus pre-specified target limits. Analysis considers mean return, Six Sigma metrics and Sharpe Ratio and selects the portfolio with maximal Sharpe Ratio as initially the best portfolio. Optimisation resolves Efficient Frontier in a narrow interval with smaller increments. Simulation measures Efficient Frontier performance including mean return, variance, standard deviation, Sharpe Ratio, and Six Sigma metrics versus pre-specified target. Analysis identifies the maximal Sharpe Ratio portfolio, i.e. the best portfolio for implementation. Selected prospects in the portfolio are individual projects. So, Project Management approach is used for control.

A New Approach to Model Heterogonous Recrystallization Kinetics Based on the Natural Inhomogeneity of Deformation

2007 ◽  
Vol 558-559 ◽  
pp. 1139-1144 ◽  
Author(s):  
Hai Wen Luo ◽  
Lian Zi An ◽  
Hong Wei Ni
Keyword(s):  
Standard Deviation ◽  
Normal Distribution ◽  
Strain Distribution ◽  
Distribution Density ◽  
Local Strain ◽  
Avrami Exponent ◽  
Recrystallization Process ◽  
Rate Parameter ◽  
New Approach ◽  
Modified Equation

The classical JMAK equation was modified by combination with distribution density of the rate parameter k, which was deduced from a normal distribution of local strain. The modified equation is able to calculate the JMAK plots and the average Avrami exponent to characterize the entire heterogeneous recrystallization process. This new extension can successfully describe the relevant experimental observations, such as a smaller exponent than the basic JMAK theory predicts, and a decreasing slope of JMAK plots with the proceeding recrystallization. Moreover, it reveals that the Avrami exponent observed experimentally should significantly decrease with the increasing standard deviation of local strain distribution. In addition, it has a great potential to explain why most of experimentally observed values of Avrami exponents are less than 2 and why the Avrami exponent is insensitive to temperature and deformation conditions when the real standard deviation of local strain distribution in deformed metals is known.

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