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Journal articles on the topic 'Risk-adjusted performance'

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Published: 4 June 2021
Last updated: 22 February 2023

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1

Modigliani, Franco, and Leah Modigliani. "Risk-Adjusted Performance." Journal of Portfolio Management 23, no. 2 (January 31, 1997): 45–54. http://dx.doi.org/10.3905/jpm.23.2.45.

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2

Odutola Omokehinde, Joshua. "Mutual funds behavior and risk-adjusted performance in Nigeria." Investment Management and Financial Innovations 18, no. 3 (September 9, 2021): 277–94. http://dx.doi.org/10.21511/imfi.18(3).2021.24.

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The paper investigates the behavior of mutual funds and their risk-adjusted performance in the financial markets of Nigeria between April 2016 and May 31, 2019, using descriptive statistics, as well as CAPM, Jensen’s alpha, and other risk-adjusted portfolio performance measures such as Sharpe and Treynor ratios, as well as Fama decomposition of return. The descriptive tests revealed that 80.77% of the funds were superior to market returns, while 13.46% were riskier. The market and the fund returns behaved abnormally with asymptotic and leptokurtic characteristics as their skewness and kurtosis varied from the normal requirements. Diagnostically, the normality test by Jacque-Berra showed that the return was not normally distributed at a 1% significance level. The market was more aggressive relative to the funds. The average risk-free rate was 6.75% above the market’s return. The risk-adjusted portfolio returns measured by Sharpe and Treynor ratios showed that 67.31% of the funds underperformed the market compared to 40.38% that outperformed the market using Jensen’s alpha. Fama decomposition of return revealed that the fund managers are risk-averse with 48% superior selection ability and rationally invested over 85% of investors’ funds in schemes with fixed income securities at a given risk-free return that cushioned the negative effects of the systematic and idiosyncratic risks and consequently threw the total returns into positive territories. Overall, the fund managers possessed 52% of inferior selection abilities that only earned 33% of superior risk-adjusted returns and hence, failed to achieve the desired diversification in the relevant period.
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3

Crouhy, Michel, Stuart Turnbull, and Lee Wakeman. "Measuring risk-adjusted performance." Journal of Risk 2, no. 1 (1999): 5–35. http://dx.doi.org/10.21314/jor.1999.018.

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4

Lobosco, Angelo. "Style/Risk-Adjusted Performance." Journal of Portfolio Management 25, no. 3 (April 30, 1999): 65–68. http://dx.doi.org/10.3905/jpm.1999.319709.

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5

Mao, Zhenxing, and Zheng Gu. "Risk-Adjusted STOCK Performance." International Journal of Hospitality & Tourism Administration 8, no. 4 (August 27, 2007): 77–98. http://dx.doi.org/10.1300/j149v08n04_04.

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6

Ankrim, Ernest M. "Risk-Adjusted Performance Attribution." Financial Analysts Journal 48, no. 2 (March 1992): 75–82. http://dx.doi.org/10.2469/faj.v48.n2.75.

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7

Živkov, Dejan, Boris Kuzman, and Jonel Subić. "Measuring the risk-adjusted performance of selected soft agricultural commodities." Agricultural Economics (Zemědělská ekonomika) 68, No. 3 (March 17, 2022): 87–96. http://dx.doi.org/10.17221/298/2021-agricecon.

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In this paper, we used several elaborate return-to-risk methods to investigate the risk-adjusted performances of five soft commodities. Regarding only the level of risk, we found that cocoa had the highest risk of losses, followed by orange juice. Cotton and coffee had the lowest risk of losses. However, according to the return-to-risk output, cotton was the worst asset in which to invest because it had negative average returns. In contradistinction, sugar had a relatively high risk of losses but also the highest average returns, which put it in the first place according to the Sharpe, Sortino and modified Sharpe ratios. Although orange juice had the second-worst downside risk performance, it came in second place according to the return-to-risk ratio because it had relatively high average returns.
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8

Sortino, Frank A., Gary A. Miller, and Joseph M. Messina. "Short-Term Risk-Adjusted Performance." Journal of Investing 6, no. 2 (May 31, 1997): 19–27. http://dx.doi.org/10.3905/joi.1997.408420.

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9

Muralidhar, Arun S. "Risk-Adjusted Performance: The Correlation Correction." Financial Analysts Journal 56, no. 5 (September 2000): 63–71. http://dx.doi.org/10.2469/faj.v56.n5.2391.

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10

Magiera, Frank T. "Reformulating Ankrim's Risk-Adjusted Performance Attribution." CFA Digest 36, no. 1 (February 2006): 77. http://dx.doi.org/10.2469/dig.v36.n1.1835.

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11

Maurer, Frantz, Jean-Marie Cardebat, and Linda Jiao. "Looking Beyond Wine Risk-Adjusted Performance." Journal of Wine Economics 15, no. 2 (May 2020): 229–59. http://dx.doi.org/10.1017/jwe.2020.18.

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AbstractIn this paper, we use copula-GARCH models applied to daily data from March 2010 to March 2018 to test the time-varying dependence of the Liv-ex 50, a secondary market fine wine index comprised of the ten most recent vintages of the five Bordeaux First Growths, with a portfolio composed of the six main stock markets (S&P 500, CAC 40, DAX 30, FTSE 100, and Hang Seng). Our results suggest that the Liv-ex 50 underperforms the six stock indexes, but provides diversification benefits in terms of volatility, asymmetry, and extreme events. (JEL Classifications: G110, G120, Q14)
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12

Li, Jianbo, Jiancheng Jiang, Xuejun Jiang, and Lin Liu. "Risk-adjusted monitoring of surgical performance." PLOS ONE 13, no. 8 (August 8, 2018): e0200915. http://dx.doi.org/10.1371/journal.pone.0200915.

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13

Ellis, M. E. "Risk-Adjusted Performance Measures and Implied Risk Attitudes." CFA Digest 32, no. 4 (November 2002): 82–83. http://dx.doi.org/10.2469/dig.v32.n4.1182.

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14

Yunan, Zuhairan Y., and Mia Rahmasari. "Measurement Of Shariah Stock Performance Using Risk Adjusted Performance." Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah 7, no. 1 (January 28, 2015): 127–40. http://dx.doi.org/10.15408/aiq.v7i1.1364.

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The aim of this research is to analyze the shariah stock performance using risk adjusted performance method. There are three parameters to measure the stock performance i.e. Sharpe, Treynor, and Jensen. This performance’s measurements calculate the return and risk factor from shariah stocks. The data that used on this research is using the data of stocks at Jakarta Islamic Index. Sampling method that used on this paper is purposive sampling. This research is using ten companies as a sample. The result shows that from three parameters, the stock that have a best performance are AALI, ANTM, ASII, CPIN, INDF, KLBF, LSIP, and UNTR.DOI: 10.15408/aiq.v7i1.1364
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15

Nouman, Muhammad, and Attaullah Shah. "Risk Adjusted Performance of Pakistani Mutual Funds." Business & Economic Review 5, no. 2 (October 1, 2013): 65–78. http://dx.doi.org/10.22547/ber/5.2.5.

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16

Magiera, Frank T. "Greek Alphabet Soup and Risk-Adjusted Performance." CFA Digest 36, no. 1 (February 2006): 75. http://dx.doi.org/10.2469/dig.v36.n1.1833.

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17

Pedersen, Christian S., and Ted Rudholm-Alfvin. "Selecting a risk-adjusted shareholder performance measure." Journal of Asset Management 4, no. 3 (September 2003): 152–72. http://dx.doi.org/10.1057/palgrave.jam.2240101.

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18

Shaw, David. "Risk adjusted performance measures and capital allocation." Balance Sheet 11, no. 1 (March 2003): 46–61. http://dx.doi.org/10.1108/09657960310698182.

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19

Coleman, Thomas S., and Laurence B. Siegel. "Compensating Fund Managers for Risk–Adjusted Performance." Journal of Alternative Investments 2, no. 3 (December 31, 1999): 9–15. http://dx.doi.org/10.3905/jai.1999.318908.

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20

Arugaslan, Onur, Ed Edwards, and Ajay Samant. "Risk‐adjusted performance of international mutual funds." Managerial Finance 34, no. 1 (December 24, 2007): 5–22. http://dx.doi.org/10.1108/03074350810838190.

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21

Hahn, TeWhan, Michele O'Neill, and Judith Swisher. "Risk-Adjusted Performance of Value and Growth Strategies." Journal of Investing 16, no. 3 (August 31, 2007): 71–82. http://dx.doi.org/10.3905/joi.2007.694767.

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22

Singh, Harendra, and C. G. Sastry. "Grading and Risk-Adjusted Performance of Indian IPOs." Indian Journal of Finance 8, no. 8 (August 1, 2014): 57. http://dx.doi.org/10.17010//2014/v8i8/71856.

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23

Singh, Harendra, and C. G. Sastry. "Grading and Risk-Adjusted Performance of Indian IPOs." Indian Journal of Finance 8, no. 8 (August 1, 2014): 57. http://dx.doi.org/10.17010/ijf/2014/v8i8/71856.

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24

Vu, Joseph. "The Persistence of Risk-Adjusted Mutual Fund Performance." CFA Digest 27, no. 1 (February 1997): 48–49. http://dx.doi.org/10.2469/dig.v27.n1.18.

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25

Traina, Ivano, and Andrea Vivoli. "AML Risk Adjusted Performance Indicators: Assumptions & Methodology." Risk Management Magazine 17, no. 1 (April 2022): 12–24. http://dx.doi.org/10.47473/2020rmm0102.

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26

Xiang, George, Jiangyang Liu, and Qi Wang. "A variational derivation of risk-adjusted performance measures." Journal of Risk 15, no. 2 (December 2012): 45–58. http://dx.doi.org/10.21314/jor.2012.257.

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27

Bralver, Charles, and Andrew Kuritzkes. "RISK ADJUSTED PERFORMANCE MEASUREMENT IN THE TRADING ROOM." Journal of Applied Corporate Finance 6, no. 3 (September 1993): 104–8. http://dx.doi.org/10.1111/j.1745-6622.1993.tb00240.x.

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28

Shin, Juneseuk, and Chong Man Kim. "Risk-adjusted performance forecasting of future key technology." Technology Analysis & Strategic Management 25, no. 2 (January 31, 2013): 147–61. http://dx.doi.org/10.1080/09537325.2012.759205.

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29

Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake. "The Persistence of Risk-Adjusted Mutual Fund Performance." Journal of Business 69, no. 2 (January 1996): 133. http://dx.doi.org/10.1086/209685.

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30

Beck, Kristine L., James Chong, and G. Michael Phillips. "Risk-Adjusted Performance of the Largest Active ETFs." Journal of Wealth Management 20, no. 3 (October 31, 2017): 52–63. http://dx.doi.org/10.3905/jwm.2017.20.3.052.

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31

Melnikov, A., and D. Vyachkileva. "Performance Analysis Based on Adequate Risk-Adjusted Measures." Review of Business and Economics Studies 6, no. 3 (September 30, 2018): 5–18. http://dx.doi.org/10.26794/2308-944x-2018-6-2-5-18.

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There are many potential investment options for investors and they should be able to compare them on a risk-adjusted basis. If investors rely only on pure return they can be exposed to a high risk. Therefore, many investors rely on adequate performance measures to evaluate potential investment opportunities. In this paper, we describe widely used risk-adjusted performance measures and add correlation through the M3 measure. We apply described measures to real financial data in order to rank managers and compare rankings between measures. We also look at the following year measures to compare the results with predictions.
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32

Tang, Xu, and Fah F. Gan. "Comparing performance of surgeons using risk-adjusted procedures." Statistics in Medicine 36, no. 16 (April 24, 2017): 2601–13. http://dx.doi.org/10.1002/sim.7310.

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33

Obeid, Alexander T. "A modified approach for risk-adjusted performance-attribution." Financial Markets and Portfolio Management 18, no. 3 (September 2004): 285–305. http://dx.doi.org/10.1007/s11408-004-0304-9.

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34

Filbeck, Greg, and Daniel L. Tompkins. "Management Tenure and Risk-Adjusted Performance of Mutual Funds." Journal of Investing 13, no. 2 (May 31, 2004): 72–80. http://dx.doi.org/10.3905/joi.2004.412310.

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35

Tang, Liang, George Xiang, and Larry Zhang. "Investment Choices, and Risk-adjusted Performance Measures with Skewness." International Review of Business Research Papers 14, no. 2 (September 30, 2018): 103–29. http://dx.doi.org/10.21102/irbrp.2018.09.142.06.

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36

Arugaslan, Onur, Ajay Samant, and Devrim Yaman. "Portfolio Spiking with Cryptocurrency: A Risk-Adjusted Performance Analysis." Australian Journal of Business and Management Research 07, no. 01 (September 1, 2022): 36–44. http://dx.doi.org/10.52283/nswrca.ajbmr.20220701a03.

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The objective of this study is to provide empirical documentation on the risk-adjusted performance of portfolios formed by investing in a Cryptocurrency such as Bitcoin and a risk-free asset. The study evaluates the performance of these Bitcoin-spiked portfolios using statistical measures grounded in modern portfolio theory. Market returns are adjusted for the degree of total risk, systematic risk, and downside risk inherent in each portfolio, and the securities are then ranked on the basis of risk-adjusted performance. In addition to standard Sharpe, Jensen, and Treynor performance measures, two newer evaluation metrics, the Modigliani and Sortino measures, are used for ranking the portfolios. We report that these portfolios have varying levels of risk and return. Our key finding is that these portfolios’ risk-adjusted returns are not only quite impressive but also exceed that of S&P 500, our benchmark market portfolio. The implication of our results is that investors with higher risk tolerance could earn substantially higher returns by including a larger percentage of Bitcoin in their portfolios. Our results should be informative to individual and institutional investors contemplating investing in cryptocurrencies but aware of their high risk.
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37

Reilly, Frank K., and David J. Wright. "Analysis of Risk-Adjusted Performance of Global Market Assets." Journal of Portfolio Management 30, no. 3 (April 30, 2004): 63–77. http://dx.doi.org/10.3905/jpm.2004.412321.

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38

Ash, Arlene S., and Randall P. Ellis. "Risk-adjusted Payment and Performance Assessment for Primary Care." Medical Care 50, no. 8 (August 2012): 643–53. http://dx.doi.org/10.1097/mlr.0b013e3182549c74.

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39

Sackley, William H. "Analysis of Risk-Adjusted Performance of Global Market Assets." CFA Digest 34, no. 4 (November 2004): 90. http://dx.doi.org/10.2469/dig.v34.n4.1586.

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40

Arora, Kavita. "Risk-adjusted Performance Evaluation of Indian Mutual Fund Schemes." Paradigm 19, no. 1 (June 2015): 79–94. http://dx.doi.org/10.1177/0971890715585203.

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41

Kim, Hyunjoon, and Zheng Gu. "Risk-Adjusted Performance: A Sector Analysis of Restaurant Firms." Journal of Hospitality & Tourism Research 27, no. 2 (May 2003): 200–216. http://dx.doi.org/10.1177/1096348003027002004.

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42

Steiner, S. H. "Monitoring surgical performance using risk-adjusted cumulative sum charts." Biostatistics 1, no. 4 (December 1, 2000): 441–52. http://dx.doi.org/10.1093/biostatistics/1.4.441.

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43

Gang, Jianhua, and Zongxin Qian. "Risk-Adjusted Performance of Mutual Funds: Evidence from China." Emerging Markets Finance and Trade 52, no. 9 (August 2, 2016): 2056–68. http://dx.doi.org/10.1080/1540496x.2016.1156527.

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44

Sadefo Kamdem, J., A. Mbairadjim Moussa, and M. Terraza. "Fuzzy risk adjusted performance measures: Application to hedge funds." Insurance: Mathematics and Economics 51, no. 3 (November 2012): 702–12. http://dx.doi.org/10.1016/j.insmatheco.2012.09.005.

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45

Tawil, Dima. "Risk-adjusted performance of portfolio insurance and investors’ preferences." Finance Research Letters 24 (March 2018): 10–18. http://dx.doi.org/10.1016/j.frl.2017.05.004.

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46

Lee, Bong Soo, and Ming-Yuan Leon Li. "Diversification and risk-adjusted performance: A quantile regression approach." Journal of Banking & Finance 36, no. 7 (July 2012): 2157–73. http://dx.doi.org/10.1016/j.jbankfin.2012.03.020.

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47

Catan, Daniela. "The Nexus Between Hedge Fund Size and Risk-Adjusted Performance." Studia Universitatis Babes-Bolyai Oeconomica 66, no. 3 (December 1, 2021): 40–56. http://dx.doi.org/10.2478/subboec-2021-0013.

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Abstract This paper explores the relationship between hedge fund size and risk-adjusted performance employing a data sample of 245 US hedge funds classified into eight different investment strategies. The studied period spans from January 2005 to February 2021, with calculations performed both on the whole coverage period as well as three sub-periods, to isolate the pre-crisis, crisis, and post-crisis funds’ behavior. Similar to previous evidence found in the literature, the results reveal an inverse relationship between hedge fund size and risk-adjusted performance (as measured by the Sharpe, Treynor and Black-Treynor ratios) in most of the cases.
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48

Soo-Wah, Low, and Anwar Johari. "Risk-Adjusted Performance of Malaysian Real Estate Investment Trust Funds." Jurnal Pengurusan 41 (2014): 3–11. http://dx.doi.org/10.17576/pengurusan-2014-41-01.

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49

Grazier, Kyle L. "Risk-adjusted Payment for and Performance Assessment of Primary Care." Medical Care 50, no. 8 (August 2012): 640–42. http://dx.doi.org/10.1097/mlr.0b013e31825cb487.

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50

Alcock, Jamie, and Eva Steiner. "Unexpected Inflation, Capital Structure, and Real Risk-adjusted Firm Performance." Abacus 53, no. 2 (May 2, 2017): 273–98. http://dx.doi.org/10.1111/abac.12102.

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