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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Integrating volatility factors in the analysis of the hedge fund alpha puzzle
TL;DR: In this paper, the authors proposed a new estimator based on the generalised method of moments (GMM) whose instruments are the higher moments of returns, the GMM-hm.
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A comparison of measures of hedging effectiveness: A case study using the Australian all ordinaries share price index futures contract
TL;DR: In this article, an empirical comparison of three measures of hedge effectiveness in the context of hedging market risk using the Australian All Ordinaries Share Price Index Futures contract is provided.
Journal ArticleDOI
Currency Risk Hedging: No Free Lunch
TL;DR: In this article, currency risk hedging typically aims at minimizing portfolio volatility, but while hedging lowers the volatility of international equity and bond portfolios, it also lowers portfolio returns and the observed negative effects of hedging on Sharpe ratios and skewness.
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Determinants of carry trades in Central and Eastern Europe
TL;DR: This paper showed that carry trades to Central and Eastern Europe (CEE) were lucrative during the boom period 2004-2006 when interest rate spreads between the funding and investment currencies were high.
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Mr. Madoff's Amazing Returns: An Analysis of the Split-Strike Conversion Strategy
TL;DR: In this paper, the authors examined Madoff's returns and compared his investment performance with what could have been obtained using the split-strike conversion strategy based on the historical data, and derived expressions for the expected return, standard deviation, Sharpe ratio and correlation with the market of this strategy.
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.
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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.