Journal ArticleDOI
The Sharpe Ratio
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
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Journal ArticleDOI
Evolutionary multi-objective optimization for multivariate pairs trading
TL;DR: An intelligent system that recommends profitable pair combinations through a Mixed Integer Programming (MIP) formulation and solving the NP-Hard optimization problem with a multi-objective genetic algorithm (NSGA-II) containing problem specific modifications are presented.
Book ChapterDOI
Chapter 15 - Mutual Funds
Edwin J. Elton,Martin J. Gruber +1 more
TL;DR: In this paper, the authors examine the three main types of mutual funds, open end funds, closed end funds and exchange traded funds, and discuss the principle research issues for each type.
Posted Content
QuantNet: Transferring Learning Across Systematic Trading Strategies
TL;DR: This paper introduces QuantNet: an architecture that learns market-agnostic trends and use these to learn superior market-specific trading strategies and evaluates QuantNet on historical data across 3103 assets in 58 global equity markets.
Posted Content
Multi-Scale Capability: A Better Approach to Performance Measurement for Algorithmic Trading
TL;DR: It is argued that an algorithmic trading strategy, indeed any investment strategy, which satisfies the criteria to be multi-scale capable also satisfies any definition of prudence.
Posted Content
A note on portfolio performance attribution: Taking risk into account
TL;DR: In this article, the authors show that performance attribution considered alone can be misleading and that portfolio managers who know perfectly the distribution of an asset's returns and who perform a relative portfolio optimisation according to that information may be penalised in some of their choices by the performance attribution process.
References
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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.