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
More filters
Journal ArticleDOI
A.I.R.A.P. - Alternative Views on Alternative Investments
TL;DR: In this article, the authors investigated issues of risk-adjusted performance, value added and leverage for hedge funds and found evidence of non-normality, higher moment risks and the trade-off between mean-variance profile vis-a-vis skewness and kurtosis is noted across style categories.
Living with less water: development of viable adaptation options for Riverina irrigators
TL;DR: In this article, the authors present details of investigations into on-farm adaptation options for rice-cereal farmers, using field experimentation, participatory engagement, and farming systems modelling as the major tools of research.
Journal ArticleDOI
The Bias Ratio As A Hedge Fund Fraud Indicator: An Empirical Performance Study Under Different Economic Conditions
TL;DR: In this paper, the Bias and Sharpe ratios were estimated on a rolling basis to ascertain whether the bias ratio does indeed provide useful additional information to investors to that provided solely by the Sharpe ratio.
Journal ArticleDOI
Performance deutscher Rentenfonds
Erik Theissen,Mario Greifzu +1 more
TL;DR: The authors analyzes the performance of a sample of German bond mutual funds and finds that most funds do not outperform the index, which does not depend on the specific performance measure used.
Journal ArticleDOI
Copula-based Black–Litterman portfolio optimization
TL;DR: In this article , the authors extend the Black-Litterman (BL) approach to incorporate tail dependency in portfolio optimization and estimate the posterior joint distribution of returns using vine copulas, which leads to flexibility in modeling returns symmetric and asymmetric multivariate distribution from a range of copula families.
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.