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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Journal ArticleDOI
Evaluación de un portafolio de inversión institucional: el caso de los fondos de pensiones en México
Humberto Banda,Denise Gómez +1 more
TL;DR: In this article, the performance of Mexican pension funds was evaluated by using Sharpe, Treynor and Jensen ratios, and the results showed that a good performance on pension funds translates on stability for its members and also for the savings of a country.
Proceedings ArticleDOI
FAST: Financial News and Tweet Based Time Aware Network for Stock Trading.
TL;DR: The authors proposed a hierarchical learning-to-rank approach that uses textual data to make time-aware predictions for ranking stocks based on expected profit, which outperforms state-of-the-art methods by over 8% in terms of cumulative profit and risk-adjusted returns in trading simulations on two benchmarks: English tweets and Chinese financial news spanning two major stock indexes and four global markets.
Journal ArticleDOI
Data Snooping in Equity Premium Prediction
TL;DR: This article analyzed the performance of a comprehensive set of equity premium forecasting strategies and found that almost all of them failed to beat the mean out-of-sample, and only few forecasting strategies that are based on Ferreira and Santa-Clara's (2011) “sum of the parts” approach generate robust and statistically significant economic gains relative to the historical mean even after controlling for data snooping.
Journal ArticleDOI
A behavioural approach to the lean startup/minimum viable product process: the case of algorithmic financial systems
TL;DR: In this paper, the behavior of firms engaged in complex product systems innovation and engineering under the lean startup/minimum viable product process is analyzed and the authors theorise about the behaviour of firms.
Journal ArticleDOI
The Generalized Treynor Ratio: A Note
TL;DR: In this article, a generalization of the Treynor ratio in a multi-index setup is proposed, based on the original interpretation of the ratio of abnormal excess return (Jensen's alpha) to systematic risk exposure (the beta).
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.
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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.