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
Citations
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Diversification benefits of Shari'ah compliant equity ETFs in emerging markets
TL;DR: In this paper, the authors investigated whether Shari'ah compliant exchange-traded funds (ETFs) have potential diversification benefits to a volatile portfolio of conventional investments in emerging markets.
Journal ArticleDOI
A simple-to-implement real options method for the energy sector
TL;DR: The method is presented in detail and applied to a case study assessing the investment appraisal of: coal plant, gas plant, large nuclear reactor and small modular reactor, based on a systematic simulation of several scenarios generated according to exercise thresholds of relevant investment parameters.
Journal ArticleDOI
The role of an agribusiness index in a modern portfolio
TL;DR: In this article, the authors developed a composite agribusiness stock index and then compared the returns and volatility to other broad-based market indices, and evaluated the diversification potential of agri-business stocks in the context of an investment portfolio.
Posted Content
Performance Evaluation of Public Pension Funds: The Reformed Pension System in Poland
TL;DR: In this article, an updated first performance evaluation study of the Polish pension funds operating from 1999 is presented, which shows that pension fund managers did produce additional value due to active management and that unsatisfactory overall results for the public pension system cannot be attributed to the inefficiency of the investment process.
Journal ArticleDOI
Corporate Health and Wellness and the Financial Bottom Line: Evidence From South Africa.
TL;DR: The evidence supports the hypothesis that a culture of health and wellness provides a financial advantage, in so far as the portfolio of healthy companies consistently outperformed the market over the selected simulations.
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.
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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.