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
Another look at the information ratio
Ludwig B. Chincarini,Daehwan Kim +1 more
TL;DR: In this paper, a distinction between the conditional and the unconditional information ratio is made, and the relationship between R2 and two versions of the information ratio has been clarified by making the conditional information ratio the square root of R2.
Journal ArticleDOI
Assessing hedge fund performance with institutional constraints: evidence from CTA funds
TL;DR: In this paper, a set of performance persistence tests based on a large-scale simulation framework and stochastic dominance methodology is proposed to investigate momentum in the performance of hedge funds of the managed futures industry.
Dissertation
Statistical dynamical models of multivariate financial time series
TL;DR: This thesis presents a set of approaches to dynamically measure symmetric and asymmetric interactions, i.e. causality, in multivariate non-Gaussian signals in a computationally efficient (online) framework and extends their multivariate interaction models, using a variet y of statistical techniques to study the scale-dependent nature of interactions and to analyse high-dimensional systems using complex coupling networks.
Journal ArticleDOI
Backward/forward optimal combination of performance measures for equity screening
TL;DR: In this paper, the authors introduce a novel criterion for performance measure combination designed to be used as an equity screening algorithm, which follows the general idea of linearly combining selected performance measures with positive weights and combination weights are determined by means of an optimisation step.
Journal ArticleDOI
Entropic Data Envelopment Analysis: A Diversification Approach for Portfolio Optimization
Paulo Rotela Junior,Luiz Célio Souza Rocha,Giancarlo Aquila,Pedro Paulo Balestrassi,Rogério Santana Peruchi,Liviam Soares Lacerda +5 more
TL;DR: This new portfolio optimization method applies DEA in association with a model resulting from the insertion of the Entropy function directly into the optimization procedure, which has obtained a better portfolio performance, measured by the Sharpe Ratio, in relation to the comparative methods.
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.