Reported portfolio data indicate that bond fund managers engage in sector timing behavior. I use simulation procedures to examine the ability of various versions of the Treynor and Mazuy (1966) timing specification to detect positive sector timing skill. Results indicate that the models are unable to detect timing ability at reasonable skill levels for the majority of managers. Alternative meas...

In this paper I derive a risk-adjusted measure of portfolio performance (now known as "Jensen's Alpha") that estimates how much a manager's forecasting ability contributes to the fund's returns. The measure is based on the theory of the pricing of capital assets by Sharpe (1964), Lintner (1965a) and Treynor (Undated). I apply the measure to estimate the predictive ability of 115 mutual fund man...

This research is intended for informative purposes and adds insight regarding the capital market, Islamic growth of market in Indonesia which analyzed based on its correlation with performance index compared to conventional tested through 3 test analyzes using Sharpe, Treynor, Jensen. was conducted data from 2007 2019. study aims provide information related relationship between over time (2013-...

Two different methods utilizing geographical information systems (GIS) and digital elevation models (DEMs) are described and evaluated for applying the Water Erosion Prediction Project (WEPP) model to assess water erosion and runoff in small watersheds. The first approach, called the Hillslope method, presents an automated method for the application of WEPP through the extraction of hillslopes ...

Considerable attention has recently been given to general equilibrium models of the pricing of capital assets. Of these, perhaps the best known is the mean-variance formulation originally developed by Sharpe (1964) and Treynor (1961), and extended and clarified by Lintner (1965a; 1965b), Mossin (1966), Fama (1968a; 1968b), and Long (1972). In addition Treynor (1965), Sharpe (1966), and Jensen (...

Our main goal is the generalization of the approach of Jobson and Korkie (1984) for funds performance evaluation. Therefore, we consider the portfolio selection problem of an investor who faces short sales restrictions when choosing among F different investment funds and assume the investor's utility function to be of the HARA type. We develop a performance measure and discuss its relationships...

this paper seeks two goals concurrently, at one hand tries to assay the capability of topsis, vikor and similarity-based approach as multiple attribute decision making approaches in evaluating mutual funds in iran stock exchange, and at the other hand in this evaluation tries to consider and compare three groups of indices including general evaluating indices (age, net value of mutual fund’s as...

Portfolio asset management must minimize risk exposure for the investor. Measuring performance of any instrument can be done by looking at risk-reward. Observe stock listed in BUMN 20 Index with measurement analytical tools like Sharpe ratio, Treynor Ratio, and Sortino ratio. This study is descriptive quantitative research as this aims to explain how ratio between 2018 2021. All population focu...