Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 52 for “"Sharpe ratio"”.
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Asymptotic Likelihood Inference for Sharpe Ratio
The Sharpe ratio is one of the most widely used measures of the performance of an investment with respect to its return and risk. Since William Sharpe (1966) defined the ratio, as the funds excess return per unit of risk measured by standard deviation, investments have been often ranked and …
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Do investment strategies based on previous performance yield higher returns? Evidence from South African bond funds
… South African bond mutual funds. I utilize the Sharpe Ratio, the modified Sharpe ratio, Jensen's alpha and the multi-index models to examine whether peformance is influenced by the performance measure used. In addition, I examine the impact of conditioning information variables on performance by …
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Statistical arbitrage in South Africa
… of liquid stock pairs that exhibit cointegration is traded for a ten year period between the years 2003 and 2013. Without transaction costs, the portfolio has an encouraging Sharpe ratio of 2.1. When realistic transaction costs are factored in, the Sharpe ratio drops to 0.43.The results …
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Optimal versus naive diversification : do different loss functions improve portfolio choice?
… model. I find that when measuring performance by Sharpe ratio, choice of loss function strongly influences whether the mean-variance model portfolio outperforms the equal weight or minimum variance portfolio, and that the optimal loss function depends on the length of the estimation window and the …
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Information and sentiment in financial markets
… The resulting portfolio achieves an annualized Sharpe ratio of 3.96, significantly higher than that of a passive investment (as proxied by S&P 500 index) and dictionary method, which achieves a Sharpe ratio of 0.32 and 2.94 respectively. We find that dictionary methods struggle to extract …
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Essays in capital markets
… risk-adjusted performance measures such as the Sharpe ratio. We propose an econometric model of illiquidity exposure and develop estimators for the smoothing profile as well as a smoothing-adjusted Sharpe ratio.
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What drives hedge fund returns? : models of flows, autocorrelation, optimal size, limits to arbitrage and fund failures
… risk-adjusted performance measures such as the Sharpe ratio. An econometric model of illiquidity exposure was further proposed and estimators for the smoothing profile as well as a smoothing-adjusted Sharpe ratio were developed.
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Systematic asset allocation using flexible views for South African markets
… out-of-sample performance for a specific configuration of the HS-FP model relative to classic Mean Variance Optimization(MVO) and Equally Weighted (EW) benchmark models. The framework displays low probability of backtest overfitting and the out-of-sample net returns and Sharpe ratio point …
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Profitability of Trading Rules in MENA Stock Markets
… generate positive mean return. In terms of the Sharpe ratio, the best trading rules according to TMA, SMA, filter and channel trading rules are for Turkey market. Furthermore, Turkey has the highest percentage of rules that have a positive Sharpe ratio followed by Cyprus and Egypt. Controlling …
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Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.
… not commonly debated in Brazil: the cointegration between pairs, which would guarantee the spread stability. We run the Dickey-Fuller test to check cointegration, and then compare the results with non-cointegrated pairs. We found that the Sharpe ratio of cointegrated pairs is greater than …
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Risk parity as an asset allocation technique: evidence from South African capital markets
… in terms of its risk-adjusted return, or Sharpe Ratio. Many academics propose the idea of levering up the Risk Parity portfolio so that its standard deviation matches that of another, riskier portfolio. This paper analyses five portfolio strategies, namely an unlevered and levered Risk …
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Comparing returns of real estate assets in gateway US markets
… risk adjusted returns will be analyzed with the Sharpe Ratio. Further, based on these findings, the thesis will determine whether a quantitative measure of building classification can be established. Currently, real estate assets, office or otherwise, are only classified qualitatively
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A Sharper Ratio
The Sharpe ratio is the dominant measure for ranking risky assets and funds. This paper derives a generalized ranking measure which, under a regularity condition, is valid in the presence of a much broader assumption (utility, probability) space yet still preserves wealth separation for the broad …
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Tvarių investicinių fondų veiklos vertinimas /
… and annual returns, standard deviation, Sharpe ratio, skewness and kurtosis coeficients were used to evaluate the returns and risks of funds. CAPM, Fama – French 3 factor and Carhart 4 factor models were used in order to identify the most important factors affecting the returns and …
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Examining the recent rising preferred perpetuals and its market anomaly in high yield space
… a profitable arbitrage strategy with annual Sharpe ratio of 1.775 from these two almost identical securities. My results bring some empirical substance to the discussion on the law of one price in financial markets. Although there are some limitations such as transaction costs and liquidity …
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Limits to Arbitrage and Commodity Index Investment
… excess returns with positive skewness and annual Sharpe ratios as high as 4.4 in the period January 2000 to March 2010. The profitability of these trading strategies is decreasing in the amount of arbitrage capital employed in the futures markets and increasing in the size of index funds' …
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Analytic methods for asset allocation with illiquid investments and low-frequency data
… reliable forecasts for mean return, volatility, Sharpe Ratio, and drawdown. Keywords: Illiquid Investments, Low-Frequency Data, Missing Data.
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Modern Portfolio Theory Applied to Institutional Real Estate Investment
… in Real Estate that will generate the highest Sharpe Ratio. This research will use endorsed Real Estate research platforms and conduct one-on-one interviews with institutional Real Estate investment managers to understand how to formulate an investment thesis and capital deployment strategy. …
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Distintas ópticas de riesgo financiero: aplicación para el mercado bursátil argentino
… más relevantes el Value at Risk (VAR), Sortino Ratio, y Sharpe Ratio. Luego, en los últimos años, con una orientación de valor, se formuló que el riesgo de una cartera podía ser pensado simplemente como la pérdida de poder adquisitivo de la cartera, y que a largo plazo es el factor más …
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Flexible risk-based portfolio optimisation
… market weight portfolio out-of-sample using a Sharpe ratio measure. Additionally, the global minimum variance portfolio performed better than other risk-based portfolios. Given the long estimation window, no estimation techniques consistently outperformed the application of sample estimators …
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