Journal ArticleDOI
The Sharpe Ratio
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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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A comparison of south african hedge fund risk measures
TL;DR: In this article, the innovative Omega ratio is calculated for South African hedge funds and compared with both Sharpe and Sortino ratios, and the Omega emerges as the superior measure for hedge fund performance.
Journal ArticleDOI
Performance of Thinly Traded Assets: A Case in Real Estate
TL;DR: In this article, an alternative performance metric for the illiquid private asset, which explicitly captures liquidity risk in a formal analysis, is proposed, which is able to explain the decades-old real estate risk premium puzzle.
Journal ArticleDOI
Options Trading Based on the Forecasting of Volatility Direction with the Incorporation of Investor Sentiment
Her-Jiun Sheu,Yu-Chen Wei +1 more
TL;DR: In this paper, an options trading strategy based on the forecasting of volatility direction is proposed, where the forecasting models are constructed with the incorporation of absolute returns, heterogeneous autoregressive-realized volatility (HAR-RV), and proxy of investor sentiment.
Posted Content
Automatic Balancing Mechanisms for Notional Defined Contribution Accounts in the Presence of Uncertainty
TL;DR: In this article, the authors explore the effect of fluctuations in economic and demographic conditions on the liquidity and solvency indicators of a notional defined contribution model and explore the introduction of an automatic balancing mechanism (ABM) into the pension scheme.
References
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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.
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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.