Jensen’s alpha index

This thesis represents the first comprehensive study on the performance (raw and risk-adjusted), performance persistence, and market timing ability of the equity funds in Hong Kong Mandatory Provident Funds (MPF) scheme during the period 2001 – 2004. Regardless of the measure used (Jensen single-index alpha measure, Fama-French three-factor alpha measure, and modified Jensen alpha controlled by changes in exchange rates), US equity funds and Pacific-Basin excluding Japan equity funds, are found to consistently underperform relative to the market.

237p runthenight04 02-02-2023 1 1   Download

In this paper we evaluate the performance of nine mutual funds in the Republic of Serbia in the period 2011-2013 by integrating traditional approaches for measuring absolute efficiency and the selected multi-criteria decision-making methods for measuring relative efficiency.

30p danhnguyentuongvi27 19-12-2018 24 0   Download

Chapter 21 A NOTE ON THE RELATIONSHIP AMONG THE PORTFOLIO PERFORMANCE INDICES UNDER RANK TRANSFORMATION. Abstract This paper analytically determines the conditions under which four commonly utilized portfolio measures (the Sharpe index, the Treynor index, the Jensen alpha, and the Adjusted Jensen’s alpha) will be similar and different.

21p yeutrasua 26-11-2010 58 10   Download