Performance Analysis Based on Adequate Risk-Adjusted Measures
نویسندگان
چکیده
منابع مشابه
Different Risk-Adjusted Fund Performance Measures: A Comparison
Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen’s alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk (VaR), would be more appropriate. Standard VaR assumes that returns are normally distributed, though th...
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T he number of mutual funds has grown dramatically in recent years. The Financial Research Corporation data base, the source of data for this article, lists 7,734 distinct mutual fund portfolios. Mutual funds are now the preferred way for individual investors and many institutions to participate in the capital markets, and their popularity has increased demand for evaluations of fund performanc...
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The classical mean-variance investment model is simple, elegant, and popular. As such, it is also subject to criticisms. One unsatisfactory feature of the model is that variance treats the upside and downside equally as risks. In this regard, the downside Lower Partial Moments (LPM) are more attractive as alternative risk measures, since they only penalize the downside. In the meanwhile, consid...
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ژورنال
عنوان ژورنال: Review of Business and Economics Studies
سال: 2018
ISSN: 2308-944X
DOI: 10.26794/2308-944x-2018-6-2-5-18