نتایج جستجو برای: sharpe index
تعداد نتایج: 397312 فیلتر نتایج به سال:
We propose a simple model to quantify the performance impact of closet-indexing in equity fund management, with a focus on mutual funds. The model requires only two inputs: the Sharpe ratio of the market index and the Rsquare from a regression of a fund’s excess returns on systematic factor returns. Due to pervasive closet-indexing, R-squares are uniformly close to one, regardless of the asset ...
In investment market, investors often pay attention to investment portfolio selection and asset allocation under market risk. Thus, this study presents a two-stage method of investment portfolio based on soft computing techniques. The first stage uses data envelopment analysis to select most profitable funds, while hybrid of genetic algorithm (GA) and particle swarm optimization (PSO)is propose...
We propose a new luminosity function, V ð1Þ, that improves upon the original CIE 1924 Vð1Þ function and its modification by D. B. Judd (1951) and J. J. Vos (1978), while being consistent with a linear combination of the A. Stockman & L. T. Sharpe (2000) long-wavelength-sensitive (L) and middle-wavelength-sensitive (M) cone fundamentals. It is based on experimentally determined 25 Hz, 2diameter,...
Traders in the financial world are assessed by the amount of money they make and, increasingly, by the amount of money they make per unit of risk taken, a measure known as the Sharpe Ratio. Little is known about the average Sharpe Ratio among traders, but the Efficient Market Hypothesis suggests that traders, like asset managers, should not outperform the broad market. Here we report the findin...
We propose market timing strategies aiming to exploit the aggregate accruals’ return forecasting power. We examine several performance metrics of the aggregate accruals based market timing strategy such as excess portfolio return, Sharpe ratio, and Jensen’s alpha. We provide robust evidence that, relative to the passive investment strategy of buying and holding the stock market, the market timi...
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