This research is intended for informative purposes and adds insight regarding the capital market, Islamic growth of market in Indonesia which analyzed based on its correlation with performance index compared to conventional tested through 3 test analyzes using Sharpe, Treynor, Jensen. was conducted data from 2007 2019. study aims provide information related relationship between over time (2013-...

We evaluate the probability that an estimated Sharpe ratio exceeds a given threshold in presence of non-Normal returns. We show that this new uncertainty-adjusted investment skill metric (called Probabilistic Sharpe ratio, or PSR) has a number of important applications: First, it allows us to establish the track record length needed for rejecting the hypothesis that a measured Sharpe ratio is b...

In this project machine learning techniques were used to generate technical trading strategies in the US interest rate swap markets. Leela, a correlation algorithm that is closely related to autoregression, was developed to detect short term repeating patterns to predict future market moves. This algorithm exhibited a Sharpe Ratio of 1 when applied to a single swap. When additional swaps were u...

Eling and Schuhmacher (2007) compared the Sharpe ratio with other performance measures and found virtually identical rank ordering using hedge fund data. They conclude that the choice of performance measure has no critical influence on fund evaluation and that the Sharpe ratio is generally adequate for analyzing hedge funds. Nevertheless, their analysis does not include the class of tailor-made...

This paper proposes a method which combines a clustering technique with asset allocation methods, to improve portfolio Sharpe ratios and weights stability. The portfolio weights are computed based on cluster members and cluster portfolios, which are decided by an optimal cluster pattern. The optimized cluster pattern tells the belonging of assets to particular clusters, which is identified by u...

The problem of capital allocation to a set of strategies could be partially avoided or at least greatly simplified with an appropriate strategy approval decision process. This paper proposes such procedure. We begin by splitting the capital allocation problem into two sequential stages: Strategy approval and portfolio optimization. Then we argue that the goal of the second stage is to beat a na...

Herein is an incomplete collection of facts about the Sharpe ratio, and the Sharpe ratio of the Markowitz portfolio. Connections between the Sharpe ratio and the t-test, and between the Markowitz portfolio and the Hotelling T 2 statistic are explored. Many classical results for testing means can be easily translated into tests on assets and portfolios. A ‘unified’ framework is described which c...

Portfolios are selected in non-Gaussian contexts to maximize a Cherny and Madan index of acceptability. Analytical gradients are developed for the purpose of optimizing portfolio searches on the unit sphere. It is shown that though an acceptability index is not a preference ordering, many utilities will concur with acceptability maximization. A stylized economy illustrates the advantages from t...

This paper uses the visibility and invisibility algorithms to build the peak and trough indicators, providing a way to recognize the convexity, concavity and regime change of the CSI 300 Index from the April 8, 2005 to June 30, 2016. The study found that the automated trading rules discovered by the gradient boosted classification trees models derived from the peak indicator outperform that fro...