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

Full Text:

PDF (Język Polski)

References


Bernardo A.E., Ledoit O., Gain, Loss and Asset Pricing, “Journal of Political Economy” 2000, Vol. 108(1), DOI: https://doi.org/10.1086/262114.

Konno H., Yamazaki H., Mean-Absolute Deviation Portfolio Optimization Model and its Application to Tokyo Stock Market, “Menagement Science” 1991, Vol. 37.

Le Sourd V., Performance Measurement for Traditional Investment, EDHEC, Lille-Nice 2007.

Modigliani F., Modigliani L., Risk-Adjusted Performance, “Journal of Portfolio Management” 1997, Vol. 23(2), DOI: https://doi.org/10.3905/jpm.23.2.45.

Pezier J., White A., The relative Merits of Investable Hedge Fund indices and of Funds of Hedge Funds in Optimal Passive Portfolios, 2006, www.icmacentre.ac.uk/pdf/discussion/DP2006-10.pdf [dostęp: 30.03.2017].

Vinod H.D., Morey M.R., A Double Sharpe Ratio. Advances in Investment Analysis and Portfolio Management 8, New York 2001.

Watanabe Y., Is Sharpe Ratio Still Effective?, “Journal of Performance Meaurement” 2006, Vol. 11.

Wiesinger A., Risk-Adjusted Performance Measurement – State of the Art, Bachelor’s Thesis, 2010.




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


Statistics


Total abstract view - 988
Downloads (from 2020-06-17) - PDF (Język Polski) - 0

Indicators



Refbacks

  • There are currently no refbacks.


Copyright (c) 2018 Dorota Żebrowska-Suchodolska

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.