Treynor ratio Research Papers - Academia.edu (original) (raw)

Indonesia is one of the countries with the largest Muslim population about 87%. The high population of the Muslim in Indonesia should be able to provide great potential in terms of Islamic finance as investment activity, which will certainly contribute positively to the Indonesian economy. Investors will always be interested in investment with high return and low risk. One of the alternative is mutual fund especially sharia equity mutual funds. The choice of the right mutual fund should pay attention to how the performance of the mutual fund. This study examine how performance of sharia equity mutual funds using Sharpe, Treynor and Jensen method are affected by stock selectivity skill, market timing ability, risk and size during 2012-2017. The finding of this research are stock selectivity skill,market timing ability, risk and size are significantly positive influence to the performance of sharia equity mutual fund. The influence of stock selectivity skill, market timing ability, ri...

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- Business, Mutual Fund, Treynor ratio
- by Rosa liana
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Jurnal ini membahas analisis kinerja saham syariah di Indonesia dengan menggunakan metode Markowitz untuk membentuk portofolio optimal. Penelitian ini bertujuan untuk mengevaluasi kinerja saham yang terdaftar dalam Jakarta Islamic Index (JII) selama periode 2011 hingga 2015. Hasil penelitian menunjukkan bahwa portofolio yang dibentuk dapat memberikan return yang optimal dengan risiko yang terukur.

- by Al Tiyas fitriyani
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- by Llh rahmawati
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- by dinda maisa
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- Review article
- by Humaida Banu Samsudin
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- Business, Real Estate, Financial Crisis, Treynor ratio

This research examines the performance of the Islamic stock portfolio (ISP) and conventional stock portfolio (CSP) for the five industrial sectors and market in Malaysia. The capital asset pricing model statistics indicate that the ISP provides a higher return with a lower systematic risk compared to the CSP in different sectors; however, the ISP and CSP perform equally in the market. The non-parametric stochastic dominance approach reveals that the ISP is better than the CSP for portfolio return without considering the riskiness for all sectors except properties; further, the ISP outperforms the CSP under the market condition. Economic significance analysis identifies that the expected financial loss of the ISP is lower than that of the CSP in all sectors other than properties; the anticipated financial loss of the ISP is significantly less than that of the CSP in the market situation. The overall findings imply that the risk-sharing ISP is superior to the risk-bearing CSP for bett...

- by Dr Md Kamrul Hassan
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- Business, Economics, International Economics, Econometrics
- by Atta Mustafa
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- Business, Economics, Sharpe Ratio, Mutual Fund
- by Citrayani Tuerah
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- History, Mathematics, Treynor ratio
- by Citrayani Tuerah
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- History, Mathematics, Treynor ratio
- by Dr Umesh Rajopadhyaya
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- Finance, Geography, Actuarial Science, Archaeology
- by R. Rockafellar
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- Business, Economics, Econometrics, Financial Economics

Mutual funds are an investment alternative which is more profitable than savings in banks. The mutual funds are beneficial because managed by the investment managers who manage the funds in accordance with its investment objectives and also does not require a large capital. The purpose of study is how to analyze the affect of Past Performance, Fund Size, Fund Age, Expense Ratio and Fund Cash Flow on Mutual Fund Performance. The data used in this study consists of the data SBI, financial reports, prospectuses, and data NAV of 30 conventional mutual funds listed on the Indonesia Stock Exchange (IDX) 2012-2014. The sample was divided in accordance with the investment objectives of 10 Equity Fund, 10 Fixed Income Fund and 10 Money Market Fund. The results of the study found that overall Past Performance , Fund Age, Expense Ratio and Fund Cash Flow have significant effect on Mutual Fund Performance, whereas for the Fund Size variable does not affect on Mutual Fund Performance. The test r...

- by Habib Bitomo
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- by Habib Bitomo
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This paper addresses a method to solve a multi-period portfolio selection on the stock market. The portfolio problem seeks an investor to trade stocks with a finite budget and a given integer number of stocks to hold in a portfolio. The trade must be performed through a stockbroker that charges its respective transaction cost and has its minimum required trade amount. A mathematical model has been proposed to deal with the constrained problem. The objective function is to find the best risk-return rate; thus, Sharpe Ratio and Treynor Ratio are used as objective functions. The returns are the same for these ratios, but the risks are not Sharpe considering covariance and Treynor systematical risk. The returns are predicted using a Neural Net with Long-Short-Term Memory (LSTM). This neural net is compared with simple forecasting methods through Mean Absolute Percentage Error (MAPE). Computational experiments show the quality prediction performed by LSTM. The heteroskedastic risk is est...

- by rodrigo romero
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- Applied Mathematics, Economics, Econometrics, Complexity
- by nihat öztürk
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- Mathematics, Polynomial

Purpose This study aims to evaluate the performance of the Portuguese fund managers by examining the selectivity and market timing skills of 51 Portuguese mutual funds from June 2002 to March 2012. Design/methodology/approach The authors assess empirically the performance of a sample of funds by applying the unconditional and conditional models of Treynor and Mazuy (1966) and Henriksson and Merton (1981). Findings The results suggest that, overall, the Portuguese mutual funds do not possess selectivity or timing skills. However, regardless of the model used, the domestic equity funds exhibit a statistically significant market timing ability. Furthermore, the domestic and North American equity funds display positive selectivity during bull markets and timing skills during bear markets. Additionally, there is some evidence that older funds are better stock pickers than younger funds. Research limitations/implications To address some of the limitations of this study, the authors sugges...

- by Elisabete Vieira
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- Economics, Applied Economics, Originality, Market Timing

- by Rahmat Setiawan
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- Business, Mutual Fund, Treynor ratio

Penelitian ini mengevaluasi Kinerja Portofolio Saham dengan menggunakan metode Sharpe, Jensen dan Treynor. Tujuannya adalah mengetahui Kinerja Portofolio Optimal dari 20 saham perusahaan yang tercatat di Bursa Efek Indonesia (BEI). Rancangan analisis menggunakan data sekunder berupa data harga saham, Return Portofolio, Suku Bunga Bank Indonesia (SBI), Indeks Periode Juni – Juli 2019. Dalam metode ini ada beberapa set yang berhubungan dengan rumus Sharpe, Jensen dan Treynor yaitu Return portofolio (Rp), Average risk free (Rf), Average return market (Rm), Standard deviation return ( SD) dan Beta portofolio (Bp), yang digunakan untuk 1 periode (2 bulan yaitu bulan Juni – Juli 2019) dalam portofolio 20 saham sampel. Hasil Analisis menunjukkan bahwa rata-rata Return Indeks dari 20 perusahaan, Jensen dan treyner menunjukkan positif dan Return yang memiliki Indeks nilai maksimum adalah Saham PT. Bank Mandiri, Tbk, (BMRI), serta beta yang memilki nilai maksimum adalah Saham PT. PP Persero, ...

- by harris manurung
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- Mathematics, Business studies, Treynor ratio

... Active Portfolio Management How To Beat The Index Funds ... This, in turn, ensures that if the portfolio manager begins with an active portfolio whose appraisal ratio is as large as possible, the resulting optimum AMB will have the... more

- by Robert Ferguson
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- Business, Actuarial Science, Economics, Portfolio Management
- by Farah Azaliney Mohd Amin
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- Business, Actuarial Science, Sharpe Ratio, Systematic Risk

This study provides the evidence of the performance of SRI funds in the UK and in France both before and during the financial crisis. We find that in the pre-crisis (2004-2007) period all French and UK funds outperformed the market. According to the modified Sharpe ratio, French and UK funds also outperformed during the crisis period (2007-2009) when compared with relative market benchmarks. This result is not confirmed by the Jensen alpha or the Treynor ratio, but these instruments did not indicate significant underperformance. Overall, our results show that while there is no significant difference in financial performance between SRI funds and non-SRI funds.

- by Ali Syed
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- Business, German, Financial Crisis, Financial System
- by Asep Risman
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- Mathematics, Treynor ratio
- by Asep Risman
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- Business, Finance, Law, Economics
- by Binod Ghimire, Ph.D.
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- Business, Finance, Geography, Actuarial Science

We use a simple non-linear model, that of Treynor and Mazuy, to test the ability of Greek mutual fund managers to time the market. The empirical findings do not reveal any ability of the Greek managers to time the market correctly or select undervalued securities. In contrary ,five out of nineteen mutual funds present a negative statistical significant coefficient of market timing. We attribute this phenomenon to the lack of experience of the managers within the short period of the life of mutual funds in Greece. Recent literature on mutual fund performance has inquired into the qualitative characteristics of mutual fund managers such as age, education, experience, etc. This line of research holds some promise in explaining the results presented in this paper.

- by Nikolaos Philippas
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- Business, European Studies, Mutual Fund, Treynor ratio

Research portfolio optimal aims to understand return and risks portfolio, and know how much teh proportion of funds invested. The period used in this reseach was februari 2011-januari 2016. Population to research there are stock companies joined in LQ-45 index. The sample of the research are 21 sample. The data collected is secondary data. Tekhnik data analysis used in research this is the kind of index singular to know shares from portrfolio optimal. Shares who was a candidate portfolio optimal are stocks having the value ERB greater than or equal to cut off-rate. Portfolio optimal formed by the shares having value ERB more of the value of cut of rate that is 0.0031. Based on the research done showed 10 stock who was a candidat portfolio optimal from 21 sample. The propotion of funds drom 10 company is: UNVR of 31.18%, ICBP of 20.40%, GGRM of 5.84%, BBCA of 14.83%, CPIN of 5.05%, JSMR of 10.08%, LPKR of 4.82%, BBRI of 6.01%, INTP of 1.16%, dan BMRI of 0.63%. Expected return portfol...

- by HANA TAMARA PUTRI
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- Real Estate, Mathematics, Economics, Stochastic dominance

In the backdrop of liberalization and private participation in the Indian mutual fund industry, the challenge to survive and retain investor confidence has been a prime are of concern for fund managers. For small investors who do not have the time or the expertise to take direct investment decision in equities successfully, the alternative is to invest in mutual funds. The performance of the mutual fund products become more complex in context of accommodating both return and risk measurements while giving due importance to investment objectives. In this paper, an attempt has been made to study the performance of selected schemes of mutual funds based on risk-return relationship models and measures. A total of 23 schemes offered by six private sector mutual funds and three public sector mutual funds have been studied over the time period April 1996 to March 2009 (13 years). The analysis has been made on the basis of mean return, beta risk, coefficient of determination, Sharpe ratio, ...

- by daniel rajkumar
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- Business, Sharpe Ratio, Mutual Fund, Treynor ratio

This paper aims to evaluate the performance of A-type Turkish funds between January 2009 and November 2014. This study period coincides with the period of quantitative easing during which developing economies in financial markets have been influenced dramatically. Thanks to the increase in the money supply directed towards the capital markets, a relief was experienced in related markets following the crisis period. During this 5-year 10-month period, in which the relevant quantitative easing continued, Borsa Istanbul (BIST) yielded 21% compounded on average, per annum. A-type Turkish funds are investigated in order to compare these funds performance within this period. Within this framework, 15 A-type equity funds and 18 A-type variable funds are selected. So as to measure these funds’ performance, Sharpe ratio (1966), Treynor ratio (1965) and Jensen alpha (1968) methods are used. Moreover, Jensen’s alpha also provides information on selectivity skills of fund managers. Furthermore,...

- by Gozde Unal
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- Economics, Sharpe Ratio, TURKISH, Quantitative Easing

Mutual funds is an instrument investment which is the best recommendation for beginner investor or an alternative investment that more safe and eficient. Investing growth give an opportunity to economic growth and to agregat growth of a country macro economic. That things were positive impacted to many factors for harmony and prospery. Research purpose - Indonesia is a country with the majorities moeslims citizen, to know how money market conventional and sharia mutual funds performances that can become a scient or subject to inform the investors of optional instrument investment it is does not depends to any religion. Using the portofolio method performance there are Sharpe Index, Treynor Index, and Jensen Alpha. And the variables using net asset value of money market mutual funds, risk free BI-7DRR, JKSE, and JII periode time 2017-2021. This research can show that mutual funds is a sustainable investment caused both of risk and return are the same. Research result In 2020 pandemi...

- by Immas Nurhayati
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- Business, Mutual Fund, Institutional Investor, Treynor ratio
- by Noor Azman Ali
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- Business, Financial Risk Management, Risk Management, Treynor ratio
- by Gabriel Barrozo
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- Economics, Portfolio, CVaR

This project is to gather empirical data on the topic to gain a better understanding of how financial technology, or Fintech, affects the financial behavior of micro, small, and medium-sized firms (MSMEs). 110 MSMEs spread over West Jakarta made up the sample in 2023. As part of the data gathering method, a random sample questionnaire with a 5-point Likert scale was created using the online tool Google Forms. The Structural Equation Modeling (SEM) model was applied to the data using Partial Least Squares (PLS) software. The results of the study show that financial inclusion and financial technology (Fintech) have a positive influence on MSMEs' financial behavior. Financial technology, or Fintech, may function as a mediator and positively influence MSMEs' financial behavior by promoting broader financial inclusion. This information will be useful to financial institutions, relevant governments, entrepreneurs, and business support organizations that aim to improve the financial behavior and practices of MSMEs. The significance of programs intended to promote good financial conduct, expand financial inclusion, and educate the public about the advantages of fintech in order to enable MSMEs to adopt more responsible financial practices.

- by Asep Risman
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- Behavioral Finance
- by Herry Sussanto
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- UG
- by Herry Sussanto
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- UG
- by MD. RAKIBUL ISLAM
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- Business, Business Administration, Standard Deviation, Mutual Fund
- by Laura Cayuela Caputto
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- Computer Science, Universitat Jaume I
- by Laura Cayuela Caputto
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- Computer Science, Universitat Jaume I
- by Ricardo Alvarado González
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- Physics

- by Md.Kamrul Hassan 028
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- Business, Economics, International Economics, Econometrics

The most important objectives in portfolio management are to have the highest average return at a certain level of risk and to eliminate the unsystematic risk through diversification. Measuring the performance of their portfolios has an important place in investment decisions for investors who want maximum return for a certain risk. In order to measure portfolio performance, there are three basic methods; Sharpe Ratio, Treynor Ratio and Jensen’s Alpha performance indices. In this study, the performance of 30 equity umbrella funds of banks between May 2015 and April 2020 was evaluated. According to the results, the performances of the three indices are listed in descending order. When the funds with the highest returns in three performance indices are analyzed, Yapı Kredi Asset Management Foreign Technology Sector Equity Fund in both Sharpe index and Treynor Index, and Yapı Kredi Asset Management BIST Dividend 25 Index Equity Fund in Jensen index are the funds with the highest perfor...

- by Erhan Daştan
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- Portfolio, Sharpe Ratio, Passive management, Treynor ratio
- by adrian kalebos
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- Econometrics, Standard Deviation, Sharpe Ratio, Conference Proceedings

This Research is about comparison between sharia companies and non-sharia companies in the stock market. Several previous studies have shown that in the stock market, the stock performance of sharia companies is better to that of non-sharia companies. Then this research increases the qualification of the companies to become companies that have implemented green innovation technology. This qualification is applied to companies listed in the Sri-Kehati index on the Indonesia Stock Exchange. Through bivariate and multivariate analysis, the results showed that the stock performance of non-sharia companies was better than those of sharia companies. Bivariate analysis show that the positive gradient of non-sharia trendline (168.37) is bigger than sharia trendline (11.633). The coefficient of determination between non-sharia stocks and Sri-Kehati index (86.41%) is bigger than between sharia stocks and Sri-Kehati index (26.46%). Multivariate analysis obtained a multiple linear regression eq...

- by SATIRENJIT JOHL
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- Business, Accounting, Sharia, STOCK EXCHANGE
- by Md Rakibul Islam
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- Business, Business Administration, Standard Deviation, Mutual Fund
- by Rakibul Islam
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- Business, Business Administration, Standard Deviation, Mutual Fund

This study principally analyzes the fund managers’ ability to outguess the market in Bangladesh. We perform the investigation on weekly data of 25 mutual funds for the period of May 16, 2010 to April 28, 2016. To serve our objective, we tested both selection and market timing skills of the fund managers. We have used six measures; average return, Sharpe ratio, Treynor ratio, Information ratio, Jensen’s alpha and M square; to confirm the selection skill of fund managers and found no selection skill persistent to most of the fund managers (excluding Aims 1st M.F, ICB AMCL 2nd NRB M.F. and 6th ICB M.F.). In addition, the negative values of alpha indicate that fund managers become not only failed to add value to their portfolio, but also pool wrong assets which hurt the return resulting negative profit. On the other hand, we have employed two popular methodologies; Treynor and Mazuy [24] and Henriksson and Merton [10]; to test the market timing skill of fund managers and found no market...

- by A.F.M. MAINUL AHSAN
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- Business, Finance, Accounting, Portfolio

This research project aims to analyse and compare the performance of selected mutual funds, focusing on their returns and risk metrics over a specific period. The study evaluates various financial indicators, including returns, standard deviation, beta, Sharpe ratio, Treynor index, Jensen's alpha, and correlation, to assess the performance and risk characteristics of the funds. The analysis covers a span of 15 years and involves 5 mutual funds selected based on specific criteria. The findings provide insights into the relative performance of the funds and their alignment with market benchmarks. The research contributes to the existing body of knowledge in the field of mutual fund analysis and offers valuable information for investors seeking to make informed investment decisions.

- by Reagan Lobo
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- Infrastructure, Performance of Mutual Funds

Abstract: The purpose of this research is to test which method is better used for optimal portfolios, namely the single index model or constant correlation to help investors make investments. The sample consisted of 46 companies that have consistently joined in Kompas 100 in the period February 2014 to July 2018. After optimizing the portfolio, both methods were tested using the risk-adjusted method, namely Sharpe, Treynor, and Jensen Index. By using the single index model, 11 companies are included in the optimal portfolio of 46 samples. While using the constant correlation model there are 9 companies that enter into an optimal portfolio of 46 samples. After conducting the risk-adjusted method the best method is to use a single index model because it provides the best performance between the two portfolios. Keywords: Optimal Portfolio, Single Index Model, Constant Correlation Model, Indonesia Stock Exchange, and Kompas 100

- by Eko Sanjaya Nurhakim
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- Mathematics, Econometrics, Portfolio Optimization, Portfolio

DS30 index consists of 30 high-qualities, blue chip companies' stocks, and it is the most reputed index in the stock market in Bangladesh. This paper tests whether stocks of this index can be used for risk diversification. The objective is to find out how many DS-30 stocks can eliminate 85% of Unsystematic Risk without compromising return. The analysis is based on 5-years of monthly data collected from Dhaka Stock Exchange. In this study, DS-30 stocks are selected and added to an equal weight portfolio, one by one in the descending order of their average monthly return, unless the resulting portfolio is able to eliminate 85% of Unsystematic Risk. This order of selection ensures that, return is not compromised at a cost of diversification. Results show that, it takes only ten DS-30 stocks to accomplish the objective.

- by Journal of Fareast International University [JFIU] and +1
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- Diversification, Systematic Risk, Unsystematic Risk

Greed plays an important in the fluctuations of stock prices because investors want profits irrespective of the risk taken by them. This study aims to determine, whether, in times of rising trends in the market, greediness is good for the investor or not. Secondly, investors can get high profits by beating the market or not. The already formed deciles portfolios of listed companies on NYSE, AMEX, and NASDAQ based on size and book to market value are taken from the Kenneth R. French data library from Dec 1994 to Dec 2021. Sharpe, Treynor, and Sortino ratios are used as the measure of the performance of portfolios. Ordinal logistic regression is used to calculate the probability at different benchmark levels to determine, whether the investor gets the profit by beating the market or not. The results show that the investor who used the Sharpe ratio has an average 85% probability of getting a profit of more than 75% of the benchmark of S&P-500 in all periods. Thus, the investors’ greedi...

- by Usman Ayub
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- Economics, Econometrics, Financial Economics, Sharpe Ratio