Correlation of the Sharpe Ratio with Its Generalized Measures for Equity Funds in the Years 2004–2015

Dorota Żebrowska-Suchodolska

Abstract


The work compares the results obtained with the Sharpe ratio and the selected measures based on this indicator and examines the relationship between them. MAD, DS, ASR, WS and M2 were selected for the study. They were designated for 16 equity funds in the period 2004–2015, which were divided into shorter subperiods (2, 3, 4 and 5 years). The results show a strong correlation of the Sharpe ratio with the MAD, DS, ASR, and M2 ratios and lack of correlation with the WS ratio.


Keywords


investment efficiency; investment funds; equity funds; Sharpe ratio; Spearman’s rank correlation coefficient

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References


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DOI: http://dx.doi.org/10.17951/h.2017.51.6.535
Date of publication: 2018-02-27 16:38:32
Date of submission: 2017-05-11 16:48:20


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