Relevant bibliographies by topics / Jensen’s measure alpha

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  1. Journal articles
  2. Dissertations / Theses
  3. Book chapters
  4. Conference papers

Academic literature on the topic 'Jensen’s measure alpha'

Author: Grafiati
Published: 4 June 2021
Last updated: 1 February 2022

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Journal articles on the topic "Jensen’s measure alpha"

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Guzella, Marcelo dos Santos, and Carlos Heitor Campani. "Predictive power of Brazilian equity fund performance using R2 as a measure of selectivity." Revista Contabilidade & Finanças 28, no. 74 (2017): 282–96. http://dx.doi.org/10.1590/1808-057x201703590.

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ABSTRACT This paper aimed to investigate the impact of levels of selectivity on the performance of equity funds using a methodology applied for the first time ever (as far as we know) in the Brazilian market. As an indicator of the activity level of a fund, we proposed the coefficient of determination (R2) of the regression of its returns over market returns. In total, 867 funds were analyzed in the period between November 2004 and October 2014. The hypothesis tested is that more selective funds perform better to compensate for their higher operating costs. This hypothesis was confirmed in the
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Zulkafli, Abdul Hadi, Zamri Ahmad, and Eky Ermal M. "The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI)." Gadjah Mada International Journal of Business 19, no. 1 (2017): 59. http://dx.doi.org/10.22146/gamaijb.17959.

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This study examines the performance of the Sri Kehati Index (SKI) against the Jakarta Composite Index (JCI) as the market index, using respective daily index prices from the 1st of January 2009 to the 31st of December 2014. This study uses the risk-adjusted return of Sharpe’s Index, the Adjusted Sharpe’s Index (ASI), Treynor’s Index, Jensen’s Alpha Index, the Adjusted Jensen’s Alpha Index (AJI) and Sortino’s Ratio to examine the performance of the SKI and the JCI. Except for Sharpe’s Index and the Adjusted Sharpe’s Index, the risk-adjusted return performance of the SKI, (Treynor, Jensen’s Alph
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MONDAL, DIPANKAR, and N. SELVARAJU. "UPSIDE BETA RATIO: A PERFORMANCE MEASURE FOR POTENTIAL-SEEKING INVESTORS." International Journal of Theoretical and Applied Finance 23, no. 02 (2020): 2050014. http://dx.doi.org/10.1142/s0219024920500144.

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This paper proposes a set of desirable axioms to characterize performance measures in the context of portfolio management. A performance measure consistent with the axioms is called “ideal”. We observe that a popular performance measure, Farinelli–Tibiletti (FT) ratio [S. Farinelli & L. Tibiletti (2008) Sharpe thinking in asset ranking with one-sided measures, European Journal of Operational Research 185 (3), 1542–1547], which captures potential-seeking behavior, is not ideal. It violates a very important property of portfolio theory, the diversification. As an alternative, we propose a ne
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Pilbeam, Keith, and Hamish Preston. "An Empirical Investigation of the Performance of Japanese Mutual Funds: Skill or Luck?" International Journal of Financial Studies 7, no. 1 (2019): 6. http://dx.doi.org/10.3390/ijfs7010006.

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This paper assesses the performance of 355 actively managed Japanese Equity Mutual Funds between April 2011 and April 2016. The equal weight portfolio and Jensen’s alpha measures of active management provide strong evidence that Japanese Mutual Funds fail to outperform the benchmark four-factor capital asset pricing model. When it comes to market timing, the Treynor and Mazuy measure shows that 33 funds have significant positive market timing ability which is largely offset by 31 funds with significant negative timing ability. To ensure the statistical inference is robust to the non-normality
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Arora, Ruchi, and T. V. Raman. "A study on performance evaluation of equity mutual funds schemes in India." International Journal of Financial Engineering 07, no. 02 (2020): 2050017. http://dx.doi.org/10.1142/s2424786320500176.

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Mutual Funds give a platform for everyone to participate within the Indian capital market with skilled fund management no matter the number endowed. In the past few years, among the various financial products in India, Mutual Funds have emerged as the favorite. There is no doubt that acceptance of mutual funds as an investment vehicle has certainly increased among investors as many investors are earning from mutual fund — as result of increase in information and awareness among investors. Smaller amount of risk is associated with mutual fund investment than directly investing in stocks. Fund m
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Tsolas, Ioannis E. "The Determinants of the Performance of Precious Metal Mutual Funds." Journal of Risk and Financial Management 13, no. 11 (2020): 286. http://dx.doi.org/10.3390/jrfm13110286.

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The aim of this paper is to assess the efficiency of a set of 62 precious metal mutual funds (PMMFs) and to explain performance differences between funds using weighted additive data envelopment analysis (DEA) and Tobit regression, respectively. The contribution of this paper is twofold: to provide for the first-time metrics of the relative performance of PMMFs using a particular weighted additive model, namely the range-adjusted measure (RAM), and to explain the performance of the funds by the use of a Tobit model. Results do not suggest positive linkages between RAM-based and standard fund p
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Kenneth Malefo, Boikanyo, Heng-Hsing Hsieh, and Kathleen Hodnett. "Performance evaluation of actively managed mutual funds." Investment Management and Financial Innovations 13, no. 4 (2016): 188–95. http://dx.doi.org/10.21511/imfi.13(4-1).2016.04.

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Motivated by the growing attraction of the mutual fund industry worldwide, this research seeks to explore the economic benefits contributed by the South African equity unit trust managers over the period from 6 January 2002 to 2 September 2012. The performance statistics of selected equity unit trusts are examined for the overall examination period and two sub-periods: 6 January 2002 to 6 May 2007 and 7 May 2007 to 2 September 2012. The first sub-period captures the bullish performance of the unit trusts before the 2008 global financial crisis. The second sub-period captures the global financi
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Kumar, Vikesh, Mujeeb-U.-Rehman Bhayo, Sundeep Kumar, Rakesh Kumar, and Sarfraz Ahmed Dakhan. "Faysal Asset Management mutual funds performance evaluation." Emerald Emerging Markets Case Studies 10, no. 4 (2020): 1–33. http://dx.doi.org/10.1108/eemcs-05-2020-0137.

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Learning outcomes The learning outcomes are as follows: to teach the concept of mutual fund as whole, how mutual fund works and who are the investors; discuss how any asset management company can work and what is their investment process; discuss how mutual funds are affected by changes in economic outlook/macro-economic variables; discuss the alternative risk-adjusted measures of performance evaluation, such as the Sharpe ratio, Treynor, Jensen’s alpha and measure of risk-adjusted performance; and discuss which index to use as a benchmark and how to improve funds’ performance. Case overview/s
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Alvarez, Marta, and Javier Rodríguez. "Water-related mutual funds: investment performance and social role." Social Responsibility Journal 11, no. 3 (2015): 502–12. http://dx.doi.org/10.1108/srj-08-2013-0104.

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Purpose – The purpose of this paper is to examine the performance and diversification value of water-related funds. As pollution, climate change and accelerated population growth threaten water resources worldwide, such resources have become a sought-after asset. For most investors, it is impractical to physically hold water as part of a portfolio; therefore, an open question is how to better gain exposure to this asset. The authors propose a look at water-related mutual funds, an issue not found addressed in the literature. In addition to the investment potential of these funds, investors mig
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Cortez Alejandro, Klender, and Martha del Pilar Rodríguez García. "An assessment of OECD sustainable portfolios with a multi-criteria approach under uncertainty." Kybernetes 46, no. 1 (2017): 67–84. http://dx.doi.org/10.1108/k-06-2016-0143.

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Purpose This paper aims to analyse the differences in financial performance portfolios between sustainable and non-sustainable firms through the use of portfolio theory and OptQuest algorithms from 2007 to 2013. Design/methodology/approach The sample consists of 1,078 firms from 15 Organisation for Economic Cooperation and Development countries. A maximisation weighted ratio is estimated by applying OptQuest algorithms to measure the portfolio performance considering a fuzzy Jensen’s alpha and the percentage of the portfolio’s performance that exceeds the market. Findings The results show a si
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Dissertations / Theses on the topic "Jensen’s measure alpha"

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Ljungström, Divesh. "B-Values : Risk Calculation for Axfood and Volvo Bottom up beta approach vs. CAPM beta." Thesis, University of Skövde, School of Technology and Society, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-141.

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<p>The aim of this thesis is to study the risk for two Swedish companies, Axfood and Volvo. To test the required return on equity, a bottom-up beta approach and a CAPM regression beta are used. This thesis concludes that the bottom-up beta gives a truer reflection and a more updated beta value than a CAPM regression beta on the firm’s current business mix, the CAPM beta takes only the past stock prices into consideration. The empirical results for Volvo conclude that the levered bottom-up beta is 1.09 and the CAPM β is 0.52 for Volvo. The empirical results for Axfood which is categorized as co
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Hammarlund, Marcus, and Carl Stenkvist. "ESG påverkan på noterade svenska bolags aktievärde : En kvantitativ studie under 2019 och ett turbulent 2020." Thesis, Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-177644.

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Bakgrund: Aktiemarknaden har aldrig haft en lägre ingångströskel där internetbaserade plattformar för investeringar har ökat tillgängligheten för både privata och institutionella investerare. Den höga aktiviteten på marknaden, i samspel med diverse finanskriser de senaste decennierna, har inneburit högre volatilitet på marknaden. Denna volatilitet nådde nya höjder under 2020 som innefattades av ett börsras i samband med Covid-19-pandemin, följt av en stark återhämtning med hjälp av global kapitaltillförsel. Året 2020 är på många sätt ett unikt år, inte minst på akti
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Bodin, Andreas, and Marko Peteri. "Utvärdering av svenska aktie- och aktieindexfonder : En empirisk studie av Sharpekvot, Treynorkvot och M-kvadrat, år 1998-2008." Thesis, Södertörn University College, School of Business Studies, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-1709.

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Paradinovic, Ivana. "Comparison of the performance of Islamic, Sri and green mutual funds." Master's thesis, 2017. http://hdl.handle.net/10362/25469.

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This paper measures and compares performance of Islamic, SRI and Green mutual equity funds worldwide in the period from 1 January 2001 to 31 December 2015. The sample consists of 611 mutual equity funds and their performance was assessed by using traditional risk-adjusted measures, namely Sharpe ratio, Modified Sharpe Ratio, Adjusted Sharpe Ratio, Treynor measure, Information ratio and Jensen’s alpha. The main findings show that Green mutual equity funds, on average, outperform both SRI and Islamic mutual equity funds over the entire observed period. SRI and Islamic mutual equity funds show si
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Book chapters on the topic "Jensen’s measure alpha"

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Nwogugu, Michael I. C. "Informationless Trading and Biases in Performance Measurement: Inefficiency of the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio and DEA-Based Performance Measures and Related Measures." In Indices, Index Funds And ETFs. Palgrave Macmillan UK, 2018. http://dx.doi.org/10.1057/978-1-137-44701-2_6.

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"Jensen’S Performance Measure (Alpha)." In 101 Investment Tools for Buying Low & Selling High. CRC Press, 2000. http://dx.doi.org/10.1201/9781420033106.ch63.

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Conference papers on the topic "Jensen’s measure alpha"

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Vyšniauskas, Povilas, and Viktorija Stasytytė. "The Analysis of Mutual Funds’ Performance in Lithuanian Financial Market." In Contemporary Issues in Business, Management and Education. Vilnius Gediminas Technical University, 2017. http://dx.doi.org/10.3846/cbme.2017.063.

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This Article examines performance of mutual funds, which are available for Lithuanian investors in Lithuanian financial market to invest in. Lithuanian mutual funds market is very new comparing with the global financial markets. Majority of mutual funds in Lithuania are imported by Scandinavian banks as well as internationally managed, only few mutual funds are managed in Lithuania. The analysis includes Lithuanian and non-Lithuanian mutual funds in Lithuanian financial market. Period from 2008 to 2016 is analysed in order to get significant results. This study aims to analyse the performances
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