Treynor 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, 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.

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- Finance, Accounting, Mutual Funds, Sharpe Ratio

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.

- by IAEME Publication
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- Sharpe Ratio, Treynor ratio, Jensen alpha, Mutual fund performance evaluation

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.

- by IJRASET Publication
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- Mutual Funds, Standard Deviation, Sharpe Ratio, Beta Israel

- by Animesh Bhattacharjee
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- Finance, Accounting, Mutual Funds, Financial management
- by izlin ismail
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- Volatility, Variance, Sharpe Ratio, Return

The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investment funds, but because it is based on mean-variance theory, it only considers the first two moments of a return distribution. It is, therefore, not suited for evaluating funds characterised by complex, asymmetric, highly-skewed return distributions such as hedge funds. It is also susceptible to manipulation and estimation error. These drawbacks have demonstrated the need for new and additional fund performance metrics. The monthly returns of 184 international long/short (equity) hedge funds from four geographical investment mandates were examined over an 11-year period.This study contributes to recent research on alternative performance measures to the Sharpe ratio and specifically assesses whether a scaled-version of the classic Sharpe ratio should augment the use of the Sharpe ratio when evaluating hedge fund risk and in the investment decision-making process. A scaled Treynor ratio i...

- by Gary Van Vuuren
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- Marketing, Business Economics, Risk Management, Applied Economics

This Capstone project compares the evaluation methods devised by Sharpe (1966), Treynor (1965), and Modigliani & Modigliani (1997) in terms of investing in Exchange-Traded Funds (ETFs). the methodology of this project replicates the... more

- by Iin Pasaribu
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- Economics, Sharpe Ratio, Treynor ratio
- by Iin Pasaribu
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- Sharpe Ratio, Treynor ratio