Sharpe ratio

REVIEW OF LITERATURE Barua and Verma (1991) provided empirical evidence of equity mutual fund performance in India. They studied the investment performance of India’s first 7year close-end equity mutual fund, Master share. They found that the fund performed satisfactory for large investor in terms of rate of return. Ippolito (1992) expressed that fund/scheme selection by investors is based on past performance of the funds and money flows into winning funds more rapidly than they flow out of losing

0084 | 0.0188 | 0.0220 | 0.0190 | 0.0130 | 0.0159 | 0.0137 | Standard Deviation | 0.0224 | 0.0244 | 0.0255 | 0.0324 | 0.0355 | 0.0349 | 0.0280 | 0.0306 | 0.0305 | Jensen's α | -0.0016 | | -0.0010 | -0.0006 | | -0.0013 | -0.0012 | | -0.0013 | Sharpe | 0.1614 | 0.2619 | 0.1976 | 0.4499 | 0.4996 | 0.4208 | 0.3281 | 0.3950 | 0.3247 | Treynor | 0.0044 | 0.0064 | 0.0054 | 0.0170 | 0.0177 | 0.0163 | 0.0107 | 0.0121 | 0.0107 | Bond Fund Overall Performance (from Jan.1, 1991 to Dec.31, 1997) Compared

Measuring systematic and idiosyncratic risk. Disadvantages: Merely a ranking criterion. Number value is not economically meaningful Normal distribution assumption result in bias. Treynor ratio: measure return in excess of the risk free rate relative to systematic risk. Advantages: It can be compared with the benchmark performance or other portfolio with the same benchmark. Disadvantaged: Only useful as a sub-portfolio measure of a board

Performance Evaluation of Finnish Mutual Funds 2014 TABLE OF CONTENT 1! ABSTRACT ............................................................................................... 1! 2! INTRODUCTION ..................................................................................... 2! 2.1.! Purpose ................................................................................................................. 2! 3! THE FINNISH FUND MARKET ...........................................

different portfolios based on the level of the ratio which higher Sharpe ratio is considered to be better than the lower ones. - Sharpe ratio refers to the differential between two portfolios, providing the information to choose between two investment opportunities, given the returns of them are uncorrelated the rest of the company’s portfolios. - Lastly sharpe ratio avoids the drawback of alpha and beta which are high volatility measures. - Sharpe ratio may not give the reliable assessment if one

Portfolio Management Module Conveyor: Dr Andreas Hoepner Project Submitted by: Harsh Shah (23873670) 1. Executive Summary 1.1. Research Purpose: When an investor considers to investment money, the first challenge that almost every investor face is numerous options to choose from stocks, bonds, mutual funds & so on. “Equity is one the key asset class which beats inflation in the long run.” (The Times of India, 5th Feb 2015). “Equity mutual funds help

Chapter 2 REVIEW OF LITERATURE Barua and Verma (1991) gave observational proof of value shared asset execution in India. They considered the venture execution of India 's initial 7year close-end value common asset, Master offer. They found that the asset performed palatable for huge speculator as far as rate of return. Ippolito (1992) communicated that reserve/plan determination by speculators depends on past execution of the assets and cash streams into winning supports more quickly than they stream

With the use of standard risk-adjusted performance measures of Sharpe (1966), Treynor (1965) and Jensen (1968), Benefield et al. (2009) examined the differences in performance between diversified and specialized REITs. They found significant differences in risk-adjusted performance between diversified and specialized

against the ASX300 indicating a robust relationship. Comparing the four ETFs, the fund with the highest monthly excess-return, on the risk-free rate, is VHY (0.024%). Clearly this is not risk-adjusted and consequently the reward-to-variability ratio (Sharpe 1964) is utilised to quantitatively measure return for each ETF relative to the total risk it exposes investors to. However, the returns for all ETFs are not normally distributed, by analysing Kurtosis and skewness, and excess-returns are

COMPETITIVE ANALYSIS Harding Loevner International Equity vs WCM Investment Management International Equity (HLMIX and WCMIX are proxies that represent the respective portfolios) INVESTMENT STYLE The investment style for HLMIX and WCMIX is Foreign Large Growth. The index for each portfolio is the MSCI All Country World Index Ex US. INVESTMENT PROCESS HMLIX is a diversified portfolio of high-quality companies that have sustainable growth. Analysts conduct bottom-up research of individual companies