Temat: Sharpe ratio - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: The use of the bootstrap method for the assessment of investment effectiveness and risk – the case of confidence intervals estimation for the Sharpe ratio and TailVaR
Autorzy:: Jarno, Klaudia
Smaga, Łukasz
Powiązania:: https://bibliotekanauki.pl/articles/2046423.pdf
Data publikacji:: 2020-11-09
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:: Bootstrap
confidence intervals
Sharpe ratio
TailVaR
stock market index
Opis:: This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods are used to estimate confidence intervals for the Sharpe ratio and TailVaR of the Warsaw Stock Exchange sectoral indices. The results show that the bootstrap confidence intervals of different types are quite similarly positioned for each of the analysed index and measure. Taking into the account the locations of confidence intervals for both the Sharpe ratio and TailVaR, the real estate sector tends to be the most advantageous from the investor’s viewpoint.
Źródło:: Journal of Banking and Financial Economics; 2020, 1(13); 40-50
2353-6845
Pojawia się w:: Journal of Banking and Financial Economics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Does it pay to be good? An analysis of vice and virtue stock performance in the Eurozone
Autorzy:: Vide, Toni
Powiązania:: https://bibliotekanauki.pl/articles/482961.pdf
Data publikacji:: 2016
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:: CAPM
Eurozone
Four factor model
Sharpe ratio
Virtue stocks
Vice stocks
Opis:: This paper provides a performance analysis of vice and virtue stocks in the Eurozone for the period between January 2005 and December 2014. In order to do so, a vice index is created consisting out of listed Eurozone companies, operating in selected vice industries and is subsequently matched with a corresponding virtue index, which for the purpose of this analysis is represented by the DJSI Eurzone. The tools used to conduct the performance evaluation are the Sharpe ratio, the Capital asset pricing model and the Carhart’s four-factor model. The analysis indicates, no consistent out- or under- performance of one or the other index, yet the realized performance over the whole period favours the vice index. Consequently one can conclude, that from a statistical point of view, there is no substantial advantage or disadvantage in being “good” when investing into stocks, as such it is a matter of investor preference, with the note that historical returns do favour vice stocks.
Źródło:: Faculty of Management Working Paper Series; 2016, WPS 1/2016; 1-18
2300-4371
Pojawia się w:: Faculty of Management Working Paper Series
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: Does it pay to be good? An analysis of vice and virtue stock performance in the Eurozone
Autorzy:: Vide, Toni
Powiązania:: https://bibliotekanauki.pl/articles/565650.pdf
Data publikacji:: 2016
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:: CAPM
Eurozone
four-factor model
Sharpe ratio
virtue stocks
vice stocks
Opis:: This paper provides a performance analysis of vice and virtue stocks in the Eurozone for the period between January 2005 and December 2014. In order to do so, a vice index consisting of listed Eurozone companies operating in selected vice industries is created and subsequently matched with a corresponding virtue index, which for the purpose of this analysis is represented by the DJSI Eurozone. The tools used to conduct the performance evaluation are the Sharpe ratio, the capital asset pricing model and the Carhart four-factor model. The analysis indicates no consistent outperformance or underperformance of one or the other index, yet the realised performance over the whole period favours the vice index. Consequently, it can be concluded that from a statistical point of view, there is no substantial advantage or disadvantage in being “good” when investing into stocks, as such it is a matter of investor preference, with the note that historical returns do favour vice stocks.
Źródło:: Journal of Banking and Financial Economics; 2016, 2(6); 113-125
2353-6845
Pojawia się w:: Journal of Banking and Financial Economics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: Re-Evaluating Sharpe Ratio in Hedge Fund Performance in Light of Liquidity Risk
Autorzy:: Van Horne, Richard
Perez, Katarzyna
Powiązania:: https://bibliotekanauki.pl/articles/2053928.pdf
Data publikacji:: 2021-12-30
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:: liquidity risk
liquidity risk factor
serial correlation
Sharpe ratio
hedge fund
performance
Opis:: This paper demonstrates how the Sharpe Ratio can be modified by altering the measure of “total risk” in the denominator of the Sharpe Ratio (i.e., the standard deviation) to include liquidity risk, a major risk for investors in hedge funds that is missing from the standard Sharpe Ratio formulation. We refer to our liquidity-risk-adjusted performance ratio as the LRAPR. The results of our analysis of 1186 hedge funds alive in 2012–2020 show that funds with higher liquidity risk exhibit higher Sharpe Ratios and higher Alphas (as estimated in a 7-factor model that does not incorporate liquidity risk). We posit that analysts and investors should not necessarily take these higher Sharpe Ratios and higher Alphas as indications of fund superiority; what appears to be superior manager skill may rather be a compensation for bearing liquidity risk. Our LRAPR is a tool that analysts or investors could use to compare funds on a more equal footing, adjusting for differential liquidity risk across funds.
Źródło:: Journal of Banking and Financial Economics; 2021, 2(16); 91-103
2353-6845
Pojawia się w:: Journal of Banking and Financial Economics
Dostawca treści:: Biblioteka Nauki

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