Journal ArticleDOI
The Sharpe Ratio
Reads0
Chats0
TLDR
The Sharpe Index as mentioned in this paper is a measure for the performance of mutual funds and proposed the term reward-to-variability ratio to describe it (the measure is also described in Sharpe [1975] ).Abstract:
. Over 25 years ago, in Sharpe [1966], I introduced a measure for the performance of mutual funds and proposed the term reward-to-variability ratio to describe it (the measure is also described in Sharpe [1975] ). While the measure has gained considerable popularity, the name has not. Other authors have termed the original version the Sharpe Index (Radcliff [1990, p. 286] and Haugen [1993, p. 315]), the Sharpe Measure (Bodie, Kane and Marcus [1993, p. 804], Elton and Gruber [1991, p. 652], and Reilly [1989, p.803]), or the Sharpe Ratio (Morningstar [1993, p. 24]). Generalized versions have also appeared under various names (see. for example, BARRA [1992, p. 21] and Capaul, Rowley and Sharpe [1993, p. 33]).read more
Citations
More filters
Journal ArticleDOI
Portfolio construction and performance measurement when returns are non-normal
TL;DR: In this paper, the authors explore the potential usefulness of a non-parametric approach to portfolio construction and performance measurement recently proposed by Stutzer (2000), which is based on the notion that investors associate risk with the failure to achieve a target return.
Posted Content
An analytical performance comparison of exchanged traded funds with index funds: 2002-2010
Mohammad Sharifzadeh,Simin Hojat +1 more
TL;DR: In this article, the authors examined if the growing demand for ETFs can be explained through their outperformance as compared to index mutual funds and found that there is statistically no significant difference between ETFs and passive index mutual fund performances at the fund level and investors' choice between the two is related to product characteristics and tax advantages.
Journal ArticleDOI
Modern Approaches to Efficient Market Hypothesis of FOREX – The Central European Case
TL;DR: In this paper, the authors verify the efficiency hypothesis of the FOREX market in the sample of panel dataset of the Central European countries, and they have shown the empirical evidence, which results in the strong tendency of nominal convergence in EU countries.
Posted Content
Financial performance of the Czech private pension scheme: Its current position and the comparison with other CEE countries
TL;DR: In this paper, the authors compared the performance of Czech voluntary private pension scheme with five other reformed private pension schemes in the region of Central Eastern Europe (Bulgaria, Croatia, Hungary, Poland and Slovak Republic).
Journal ArticleDOI
Understanding Portfolio Efficiency with Conditioning Information
TL;DR: The authors show that standard preferences choose portfolios on a frontier that has not been studied in the literature, develop new betas and Sharpe ratios to construct portfolio efficiency tests, and highlight some concerns with current empirical work.
References
More filters
Journal ArticleDOI
Liquidity Preference as Behavior towards Risk
TL;DR: In this article, the authors derived the liquidity preference schedule from some assumptions regarding the behavior of the decision-making units of the economy, and those assumptions are the concern of this paper.
Book
Modern Portfolio Theory and Investment Analysis
TL;DR: The Modern Portfolio Theory as discussed by the authors examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios, while presenting advanced concepts of investment analysis and portfolio management.
Book
Investment Analysis and Portfolio Management
TL;DR: In this paper, the authors present an approach to learn how to manage money and investments to derive the maximum benefit from what you earn, by combining investment instruments and capital markets with the theoretical detail on evaluating investments and opportunities to satisfy risk-return objectives along with how investment practice and theory is influenced by globalization.
Journal ArticleDOI
How to Use Security Analysis to Improve Portfolio Selection
Jack L. Treynor,Fischer Black +1 more
TL;DR: In this paper, the authors explore the link between conventional subjective, judgmental, work of the security analyst and the essentially objective, statistical approach to portfolio selection of Markowitz and his successors.
Journal ArticleDOI
International Value and Growth Stock Returns
TL;DR: In this article, the International Value and Growth Stock Returns (IVGSR) is used to measure the performance of a stock market stock in terms of its international value and growth.