Sharpe index

The rest of this paper is organized as follows: In Section 2, previous studies related to risk measure are mentioned in the literature. Section 3 presents research methodology including AS index and EPM methodology which are applied for evaluating all ETF funds performance. Then, the result and discussion between them are compared in section 4. The final section will conclude.

9p leminhvu111 07-06-2024 0 0   Download

This study aims to describe the association between sharp score and clinical indexes, bone metabolism indexes, Disease Activity Score (DAS28) and sociodemographic factors in rheumatoid arthritis (RA). Data were collected from the HIS (hospital information system), a national inpatient database in China, with information on the patients hospitalized during the period from 2012 to 2019. The association between sharp score and effective factors were identifed using multinomial logistic regression and association rule mining (ARM).

8p vimackenziebezos 30-11-2021 10 1   Download

The aim of this study is to investigate if Ichimoku Cloud can serve as a technical analysis indicator to improve stock price prediction for leading US energy companies. The methodology centers on the application of the Ichimoku Cloud as a trading system. The daily stock prices of the top ten constituents of the S&P Composite 1500 Energy Index - spanning the period from 12th April, 2012 to 31st July, 2019 - were sourced for experimentation. The performance of the Ichimoku Cloud is measured using both the Sharpe and Sortino ratios to adjust for total and downside risks.

11p nguaconbaynhay10 22-02-2021 13 1   Download

After the 2008 global financial crisis, financial stress index- an indicator measuring the instability and risk in financial markets has become one of the crucial indicators to forecast the financial crisis. Besides the models to estimate this index, the effect of financial stress on economic variables is the main topic that the economists focus on researching recently. For Vietnam, the economy experienced a double crisis in the period from 2008 to 2012.

11p gaocaolon6 04-08-2020 29 2   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

Part I: The C# LanguageChapter 1, C# 3.0 and .NET 3.5Chapter 2, Getting Started: “Hello World”Chapter 3, C# Language FundamentalsChapter 4, Classes and ObjectsChapter 5, Inheritance and PolymorphismChapter 6, Operator OverloadingChapter 7, StructsChapter 8, InterfacesChapter 9, Arrays, Indexers, and CollectionsChapter 10, Strings and Regular ExpressionsChapter 11, ExceptionsChapter 12, Delegates

609p trasua_123 02-01-2013 101 25   Download

This is why, in this paper, we study another way of imposing factor structure. It is to take a weighted average of the sample covariance matrix with Sharpe’s (1963) single-index model estimator. The weight ® (between zero and one) assigned to the single-index model controls how much structure we impose: the heavier the weight, the stronger the structure. This is a well-known technique in Statistics called shrinkage dating back to Stein (1956): ® is called the shrinkage intensity, and the single-index model is our choice of shrinkage target.

0p quaivattim 04-12-2012 61 1   Download

Fundamental Indexation has also been effective in back-tested results both in Europe and Asia. Return statistics from 1987 through 2005 suggest that fundamentally- weighted indexes have outperformed capitalization-weighted indexes in Greece, Ireland, France, Switzerland, Germany and Denmark by over 200 basis points per annum. In Japan the out performance has been greater than 300 basis points a year. In emerging markets, the technique has shown even greater excess returns over capitalization- weighted indexes.

27p quaivattim 04-12-2012 55 2   Download

We construct optimal portfolios of equity funds by combining historical returns on funds and passive indexes with prior views about asset pricing and skill. By including both benchmark and nonbenchmark indexes, we distinguish pricing-model inaccuracy from managerial skill. Even modest con¯dence in a pricing model helps construct portfolios with high Sharpe ratios. Investing in active mutual funds can be optimal even for investors who believe active managers cannot outperform passive indexes. Optimal portfolios exclude hot-hand funds even for investors who believe momentum is priced.

36p thangbienthai 22-11-2012 66 6   Download

This study, given its Bayesian approach, is related to the recent article by Baks, Metrick, and Wachter (2001), who estimate funds' alphas using informative prior beliefs about alpha. They investigate the degree to which informative priors can preclude an investor from infer- ring that at least one actively managed fund has a positive alpha. This inference relates to an investment problem of a mutual fund investor who can also earn the hypothetical costless returns on the benchmark indexes.

0p thangbienthai 22-11-2012 54 7   Download

We ¯nd that when the hypothetical benchmarks are recognized as being unavailable for investment, there need not exist close substitutes for them in the universe of mutual funds. For an investor who believes completely in the accuracy of the Fama-French model and precludes managerial skill, the perceived maximum Sharpe ratio is only 66 percent of what could be achieved by direct investment in that model's benchmarks. For a believer in the Carhart four-factor model, the corresponding value is 54 percent.

56p thangbienthai 22-11-2012 70 8   Download

The aim of this paper is to compare pricing and performance of mutual funds with two types of guarantees: a lookback guarantee and an interest rate guarantee. In a simulation analysis of different portfolios based on stock, bond, real estate and money market indexes, we first calibrate guarantee costs to be the same for both investment guarantee funds. Second, their performance is contrasted, measured with the Sharpe ratio, omega and Sortino ratio, and a test with respect to first-, second- and third-order stochastic dominance is provided.

19p quaivatdo 18-11-2012 67 6   Download

{ if ( index = strings.Length) { // xử lý index sai } return strings[index]; } set { strings[index] = value; } } // số chuỗi nắm giữ public int GetNumEntries() { return ctr; } private string[] strings; private int ctr = 0; } public class Tester { static void Main() { ListBoxTest lbt = new ListBoxTest(“Hello”, “World”); lbt.Add(“What”); lbt.Add(“Is”); lbt.Add(“The”); lbt.Add(“C”); lbt.Add(“Sharp”); string subst = “Universe”; lbt[1] = subst; // truy cập tất cả các chuỗi int count =1; foreach (string s in lbt) { Console.WriteLine(“Value {0}: {1}”,count, s); count++; ...

35p tengteng16 27-12-2011 51 2   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

Finding DataRowView Objects in a DataView You can find the index of a DataRowView in a DataView using the Find() method of a DataView

5p daisuphu 29-07-2010 114 6   Download