Sharpe Ratio Research Papers - Academia.edu (original) (raw)

The study measures the performance of mutual fund (MF) schemes in India with special reference to sector-specific schemes. For the purpose, 21 open-ended equity schemes are considered and analysed by employing Sharpe ratio, Treynor ratio,... more

The study measures the performance of mutual fund (MF) schemes in India with special reference to sector-specific schemes. For the purpose, 21 open-ended equity schemes are considered and analysed by employing Sharpe ratio, Treynor ratio, Jensen alpha, M-squared measure, R-squared measure, and Information ratio. Among the measures selected, the Treynor ratio, Sharpe ratio, Jensen alpha, and M-squared measure are applied as absolute measures and these measures do not compare the returns of the schemes with the returns of their benchmarks. Correlation analysis has also been applied to the ranks assigned by the measures. The study found that majority of the schemes are efficiently and consistently providing more returns than their respective benchmarks. Also, the study found the ranks assigned by absolute measures to be highly associated with each other and the paired correlation between absolute measures and the information ratio is found to be insignificant. The article will help the investors in selecting the consistent sectoral MF schemes operating in India. The originality of the article lies in the fact that only a handful of studies have measured the performance of sectoral MF schemes in India. In addition, majority of the studies use traditional ratios to measure the performance of MF schemes. Thus, the present article is a significant addition to the existing literature.

Use of artificial intelligence systems in forecasting financial markets requires a reliable and simple model that would ensure profitable growth. The model presented in the paper combines Evolino recurrent neural networks with orthogonal... more

Use of artificial intelligence systems in forecasting financial markets requires a reliable and simple model that would ensure profitable growth. The model presented in the paper combines Evolino recurrent neural networks with orthogonal data inputs and the Delphi expert evaluation method for its investment portfolio decision making process. A statistical study demonstrates the reliability of the model and describes its accuracy. Capabilities of the model are demonstrated using a trading simulation.

Purpose of this study is to apply to modify Sharpe Ratio to calculate Star Ranking of Equity-based mutual funds registered in Mutual Fund Association of Pakistan, further, the idea was to recalibrate locally developed models being used in... more

Purpose of this study is to apply to modify Sharpe Ratio to calculate Star Ranking of Equity-based mutual funds registered in
Mutual Fund Association of Pakistan, further, the idea was to recalibrate locally developed models being used in Pakistan by
autonomous professional bodies who professionally assigns star ranking of mutual funds, equity market exhibited negative
returns from July 2017 onwards this research which brought the problem to assign star ranking due to model structure,
model relies on risk-adjusted return (Sharpe Ratio), therefore Sharpe Ratio has a limitation in negative excess return. Two
developed models were simultaneously compared to witness the predictive power of these models, (1) modified Sharpe and
(2) VIS Credit Rating Company (Explaining the Stars) Model. Data was collected from March 2013 to March 2018 quarterly
and the exercise was done quarterly. Findings revealed a magnificent piece of work, (1) there is no difference between model
1 and model 2 by both way results exhibited same mutual fund star rankings, (2) both methods have a different way of
calculating final score with same results, and (3) modified Sharpe ratio is quite well when excess return is negative but when
there is a mix of negative and positive better to use VIS model as well as in positive excess returns. A research paper could
not calibrate other models developed by rating companies (Pakistan Credit Rating Company) which is a future research gap.

The present paper attempts to empirically evaluate the performances of ‘actively managed’ and ‘passive (index)’ mutual funds in India over period April 2006 – March 2019 with following two important objectives: (1) have the actively... more

The present paper attempts to empirically evaluate the performances of ‘actively managed’ and ‘passive (index)’ mutual funds in India over period April 2006 – March 2019 with following two important objectives: (1) have the actively managed mutual funds been able to outperform the market; and (2) have the actively managed mutual funds in India been able to generate statistically superior returns as compared to passive (index) funds. For achieving the stated objectives, performance of 25 actively managed large cap funds and 22 large cap passive (index) funds has been analyzed. Daily Net Asset Values (NAVs) of regular plan - growth options of all the funds has been considered. Further, various risk-return measures such as fund returns, Sharpe ratio, Treynor ratio, and Jensen alpha of funds have been analysed. ‘Two-sample tTest’ has been employed to test for difference in performances of the two groups. The findings indicate that during the period of analysis, actively managed funds were not able to outperform the market. Also, there was no significant difference in the performances of actively managed funds and passive (index) funds on account of fund returns, Sharpe ratio, and Treynor ratio during the chosen time period, barring Jensen alpha measure for which the actively managed funds were able to perform better as compared to passive (index) fund.

ABSTRACT Technical trading rules can be generated from historical data for decision making in stock markets. Genetic programming (GP) as an artificial intelligence technique is a valuable method to automatically generate such technical... more

ABSTRACT Technical trading rules can be generated from historical data for decision making in stock markets. Genetic programming (GP) as an artificial intelligence technique is a valuable method to automatically generate such technical trading rules. In this paper, GP has been applied for generating risk-adjusted trading rules on individual stocks. Among many risk measures in the literature, conditional Sharpe ratio has been selected for this study because it uses conditional value at risk (CVaR) as an optimal coherent risk measure. In our proposed GP model, binary trading rules have been also extended to more realistic rules which are called trinary rules using three signals of buy, sell and no trade. Additionally we have included transaction costs, dividend and splits in our GP model for calculating more accurate returns in the generated rules. Our proposed model has been applied for 10 Iranian companies listed in Tehran Stock Exchange (TSE). The numerical results showed that our extended GP model could generate profitable trading rules in comparison with buy and hold strategy especially in the case of risk adjusted basis.

Aim of the study is to determine the better performance measure during the financial crisis. In order to do so, we selected the pandemic period during the Jan to Jul 2020 and analyzed the different performance ratios for our sample of... more

Aim of the study is to determine the better performance measure during the financial crisis. In order to do so, we selected the pandemic period during the Jan to Jul 2020 and analyzed the different performance ratios for our sample of 1416 Indian equity funds. Then we ranked them based on different performance indicators to show the gross difference while opting for different performance ratios. Finally we observe that adjusted Sharpe ratio is the best performance measure that can be used in the volatile markets.

As the assumption of normality in return distributions is relaxed, classic Sharpe ratio and its descendants become questionable tools for costructing optimal portfolios. In order to overcome the problem, asymmetrical parameter-dependent... more

As the assumption of normality in return distributions is relaxed, classic Sharpe ratio and its descendants become questionable tools for costructing optimal portfolios. In order to overcome the problem, asymmetrical parameter-dependent performance ratios have been recently proposed in the literature. The aim of this note is to develop an integrated decision aid system for asset allocation based on a toolkit of eleven performance ratios. A multi-period portfolio optimization up covering a fixed horizon is set up: at first, bootstrapping of asset return distributions is assessed to recover all ratios calculations; at second, optimal rebalanced-weights are achieved; at third, optimal final wealth is simulated for each ratios.
Eventually, we make a robustness test on best performance ratios. Empirical simulations confirm the weakness in forecasting of Sharpe ratio, whereas asymmetrical parameter-dependent ratios, such as the Generalized Rachev, Sortino-Satchell and Farinelli-Tibiletti ratios show satisfactorily robustness.

Exchange-traded Funds (ETFs) have been gaining increasing popularity in the investment community, as evidenced by their high growth both in the number of ETFs created and their net assets since 2000. As ETFs are in nature similar to index... more

Exchange-traded Funds (ETFs) have been gaining increasing popularity in the investment community, as evidenced by their high growth both in the number of ETFs created and their net assets since 2000. As ETFs are in nature similar to index mutual funds, in this article we examine whether this growing demand for ETFs can be explained through their outperformance as compared with index mutual funds. We consider the population of all ETFs with inception dates before 2002 and then for each ETF found all the passive index mutual funds that had the same investment style as the selected ETF and had an inception date before 2002. This led to a sample of 230 paired matches for all the styles. Within each investment style we matched every ETF with all the passive index funds in that investment style and compared the performances of the matched pairs in terms of Sharpe Ratios and risk-adjusted buy and hold total returns for the period 2002–2010. We then applied the Wilcoxon signed rank test to ...

During recent years, the Indian financial sector has undergone revolutionary changes and has become broad based with size and resources so as to meet diverse needs of the economy. Mutual funds are becoming attractive avenue for investors... more

During recent years, the Indian financial sector has undergone revolutionary changes and has become broad based with size and resources so as to meet diverse needs of the economy. Mutual funds are becoming attractive avenue for investors because of various benefits attached to them. Due to lack of professional expertise and knowledge about capital market and also pros and cons of investment, the small investors hesitate to invest their hard earned money in corporate securities. Common man may hesitate to invest in corporate securities directly, however, during COVID 19, large number of demat accounts have been opened. Thus, a mutual fund is the suitable investment for common man as it offers an opportunity to invest in diversified, professionally managed avenues for securities at the lowest cost. In this research paper an attempt is made to analyse the performance of the growth oriented direct equity mutual fund schemes on the basis of risk and return analysis especially with reference to COVID 19. The funds' risks and returns have been analysed with time frame of "Pre-COVID19" and "Post-COVID19". The analysis is done through various statistical tools and tests like Average Return, Standard Deviation, Beta, Sharpe Ratio, Jensen Measure, Treynor Ratio, and Coefficient of Determination (R 2) to assess the impact of COVID 19 recovery rate of mutual funds.

The study measures the performance of mutual fund (MF) schemes in India with special reference to sector-specific schemes. For the purpose, 21 open-ended equity schemes are considered and analysed by employing Sharpe ratio, Treynor ratio,... more

The study measures the performance of mutual fund (MF) schemes in India with special reference to sector-specific schemes. For the purpose, 21 open-ended equity schemes are considered and analysed by employing Sharpe ratio, Treynor ratio, Jensen alpha, M-squared measure, R-squared measure, and Information ratio. Among the measures selected, the Treynor ratio, Sharpe ratio, Jensen alpha, and M-squared measure are applied as absolute measures and these measures do not compare the returns of the schemes with the returns of their benchmarks. Correlation analysis has also been applied to the ranks assigned by the measures. The study found that majority of the schemes are efficiently and consistently providing more returns than their respective benchmarks. Also, the study found the ranks assigned by absolute measures to be highly associated with each other and the paired correlation between absolute measures and the information ratio is found to be insignificant. The article will help the...

Global equity portfolio managers employ a variety of approaches to currency hedging either hedging all of their currency risk, hedging only a portion of their currency risk, or simply not hedging at all. This paper considers a... more

Global equity portfolio managers employ a variety of approaches to currency hedging either hedging all of their currency risk, hedging only a portion of their currency risk, or simply not hedging at all. This paper considers a hypothetical US-based global portfolio invested in Europe, Asia, Latin America, and the US and looks at how various passive hedging strategies would have

There are many ways in which investor can measure the performance of portfolio. Dif erent theorists have proposed many dif erent models for this purpose. The Sharpe Ratio given by Sharpe (1964) and its close analogical concept - the... more

There are many ways in which investor can measure the performance of portfolio. Dif erent theorists have proposed many dif erent models for this purpose. The Sharpe Ratio given by Sharpe (1964) and its close analogical concept - the Information Ratio, are one of the most common measures of portfolio performance. Active investing requires the portfolio managers to better the stock market’s average returns and take advantage of short-term price fluctuations. The active return of the portfolio should perform as well as the benchmark or, better so, outperform the benchmark. The simplicity of these two ratios leads them to their greatest weakness. Both the ratios are useful for evaluating the portfolio but only in limited situation. They are not applicable in asymmetric situations. In this paper, an effort has been made to analyse the correlation between the two to give more concise relationship between these tools and their measuring of performance.

: The study of the effectiveness of using cryptocurrencies as an investment resource was conducted on the basis of testing the hypothesis that the introduction of leading cryptocurrencies that are components of the CRIX index into the... more

: The study of the effectiveness of using cryptocurrencies as an investment resource was conducted on the
basis of testing the hypothesis that the introduction of leading cryptocurrencies that are components of the CRIX index
into the investment portfolio improves its quality (efficiency). Cryptocurrency investment opportunities are explored on
the basis of statistics for July 2016-June 2019. An average annual return on investment (ROI), which is adjusted for
passive income on an investment asset (PI), is used to evaluate investment performance. In this study, cryptocurrencies
are compared with the following alternative investment areas: Forex market, equities (companies with the highest
weights in Nasdaq 100, Euro STOXX 50), commodities, government bonds, real estate. The criteria were determined by
the increase in the Sharpe ratio of the investment portfolio and its average annual return. Optimization of investment
portfolios without cryptocurrencies and with them was performed on the basis of the Markowitz model. The result shows
the confirmation of the hypothesis: the introduction of 3 cryptocurrencies – Bitcoin, Ripple, Litecoin – in the proportions of
2.31%, 1%, 1%, respectively, increased the Sharpe ratio of the investment portfolio by 3.29 points, and the coefficient of
return by 9.42 percentage points while increasing the risk by only 0.51 percentage points. This result indicates that the
quality (increase in efficiency) of the investment portfolio due to the introduction of cryptocurrencies and the ability to
control the investment risk of the portfolio despite the high volatility of cryptocurrencies. This proves the investment
(speculative) function of crypto-assets, which can be the basis for developing a model of accounting for crypto-assets.

An optimisation through Markowitz, GA and PSO framework is performed for a 30-stock portfolio, and compared to the market index DJIA. The results show that firstly, Markowitz outperforms the market. Secondly, PSO is more efficient for... more

An optimisation through Markowitz, GA and PSO framework is performed for a 30-stock portfolio, and compared to the market index DJIA. The results show that firstly, Markowitz outperforms the market. Secondly, PSO is more efficient for building of optimal risky portfolio as the expected returns matches the market index. On the other-hand, GA under-performs the Dow-Jones Index Average market index. Also, the PSO framework is associated with lower computational time and occupies less memory storage than the GA.

Katılım bankacılığı; İslami prensiplerine uygun olarak faaliyetlerini gerçekleştiren bir bankacılık modelidir. Katılım bankaları ilkelerine göre düzenlenen katılım endeksleri dünya çapında uzun yıllardır var olmasına rağmen ülkemizde 2011... more

Katılım bankacılığı; İslami prensiplerine uygun olarak faaliyetlerini gerçekleştiren bir bankacılık modelidir. Katılım bankaları ilkelerine göre düzenlenen katılım endeksleri dünya çapında uzun yıllardır var olmasına rağmen ülkemizde 2011 yılından bugüne hızlı bir büyüme göstermiştir. Son dönemlerde öne çıkan bir diğer endeks kurumsal yönetim endeksidir. Gerek katılım endeksi gerekse kurumsal yönetim endeksi BİST'de ki diğer sektör endekslerinden farklı olarak daha homojen olan endekslerdir. Bu açıdan, bu çalışmada Kurumsal Yönetim Endeksi ve İslami prensiplere uygun hisse senetlerinden oluşan katılım 30 Endeksi ile BİST 50 Endeksi'nin 10 Ocak 2011 ile 22 Aralık 2016 tarihleri arasındaki risk ve getiri karakterleri incelenmiştir. Çalışma dönemi üç artan ve dört azalan piyasa dönemi olmak üzere yedi alt döneme ayrılmıştır.