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
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Forecasting the direction of the US stock market with dynamic binary probit models
TL;DR: In this paper, the predictive ability of the binary dependent dynamic probit model in predicting the direction of monthly excess stock returns was investigated, and it was shown that the predictive power of the model for a binary recession indicator appears to be the most useful predictive variable, and once employed, the sign of the excess return is predictable in-sample.
Book
Portfolio Theory and Performance Analysis
Noël Amenc,Véronique Le Sourd +1 more
TL;DR: In this article, the authors present a portfolio management environment based on the Capital Asset Pricing Model (CAPM) and its application to performance measurement, and evaluate the management strategy with the help of models derived from the CAPM: timing analysis.
Journal ArticleDOI
Expert Stock Picker: The Wisdom of (Experts in) Crowds
TL;DR: The main contribution, here applied to user-generated stock pick votes from a widely used online financial newsletter, is a genetic algorithm approach that can be used to identify the appropriate vote weights for users based on their prior individual voting success, enabling better stock pick decisions than the S&P 500.
Journal ArticleDOI
Quantitative risk level estimation of business process reengineering efforts
TL;DR: The development of a tool to quantitatively estimate the potential risk level of a BPR effort before an organization commits its resources to that effort is reported, giving any organization contemplating BPR a heretofore unavailable estimate of the risk level.
Journal ArticleDOI
On Testing the Equality of the Multiple Sharpe Ratios, with Application on the Evaluation of Ishares
Pui Lam Leung,Wing-Keung Wong +1 more
TL;DR: In this article, the Multiple Sharpe Ratio Test (MSRT) was proposed to test the hypothesis of the equality of the multiple Sharpe ratios in the stock market, and the test results showed that the 18 iShares perform differently in each year as well as in the entire sample.
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.
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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.