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Showing 1 to 9 of 9 for “"Information ratio"”.
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Menentukan portofolio optimal treynor-black model dengan evaluasi kinerja portofolio metode jensen, sharpe, treynor, sortino, information ratio, T2 dan M2: Studi kasus pada saham di Jakarta islamic index (JII) periode Juni 2010 sampai Mei 2014
… kinerja metode Jensen, Sharpe, Treynor, Sortino, Information Ratio, T2 Dan M2 pada portofolio Treynor-Black. Hasil analisis menunjukkan bahwa 1) Dengan metode portofolio Treynor- Black Model terbentuk sebuah portofolio optimal yang terdiri dari sembilan saham JII yaitu, UNVR, KLBF, TLKM, AALI, …
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Perbandingan kinerja reksadana saham konvensional dan reksadana saham syariah di Indonesia dengan metode sharpe, treynor, jensen, rasio informasi dan roy safety first ratio
… jensen, rasio informasi dan roy safety first ratio. Penelitian ini, menggunakan jenis penelitian kuantitatif. Dengan menggunakan populasi 151 reksadana saham konvensional dan 14 reksadana saham syariah. Sedangkan pengambilan sample berjumlah 21 reksadana konvensional dan 7 reksadana syariah …
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Modeling and trading the Greek stock market with artificial intelligence models
… performance in terms of annualized return and information ratio, while providing information about the relationship between the ASE20 index and other foreign indices.
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Performance Evaluation of South African Mutual Funds: The Effects of Fees on Performance
… In order to measure these funds, the Information ratio (1973), the Sharpe ratio (1965), Jensen's alpha (1968) and the Sortino ratio (1980) methods are used. Jensen's alpha is also used in identifying selectivity skills of fund managers. None of the funds in the sample were found to …
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An investigation into South African property unit trusts: do active managers add value to investors?
… three risk-adjusted measures, namely the Sharpe ratio, information ratio and Jensen's alpha, in order to determine whether there is significant outperformance amongst the funds. The benchmark used to compare performance was the South African Listed Property index (SAPY), which is the most common …
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The Development Role Played by Targeted Development Investments in South Africa and Their Risk-Adjusted Performance Over a 10-Year Period
… 3 public sector investment institutions or corporations. The analysis on the performance of the private sector TDI funds examined their risk adjusted performance using Treynor, Sharpe, Sortino, and Information ratios. The risk adjusted performance was used to test whether the TDI fund returns …
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Mengukur kinerja reksadana saham syariah menggunakan indeks sharpe, treynor, jensen, rasio informasi, sortino dan roy safety first: Studi kasus pada reksadana saham syariah yang terdaftar di JII
… by Sharpe index, Treynor Index, Jensen index, Ratio Information, Ratio Sortino and Ratio Roy Safety First. The purpose of using this six term is to know if there is the different level performance of mutual funds in syariah shares. This analysis using qualitative descriptive which wants to …
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Equity investment styles
… test of alpha stability. We test if past alphas, information ratio and alpha-to-beta ratio of positive and negative alpha portfolios can be used to determine future portfolio returns. We find that chosen portfolio performance measures do not have any predictive power in the short term investment …
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Constructing low cost core-satellite portfolios with multiple risk constraints: practical applications to Robo advising in South Africa using active, passive and smart-beta strategies
… each category are shortlisted using a Sharpe and Information Ratio filter. A secondary filtering technique, namely Returns Based Style Analysis (RBSA) is used to determine the style, R-squared and alpha-generating ability of active managers versus the passive asset classes and style indices they …