Academic literature on the topic 'Treynor’s ratio'
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Journal articles on the topic "Treynor’s ratio"
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Shaukat, Zunera, and Ahmad Shahzad. "Impact of Portfolio Strategies on Portfolio Performance and Risk." International Journal of Business Administration 10, no. 1 (December 4, 2018): 73. http://dx.doi.org/10.5430/ijba.v10n1p73.
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The Portfolio strategies are the effective investment tools pertaining to active and passive investment approaches. This signifies the investor’s inclination of buying and selling the risky and risk-free assets. The research includes four strategies namely buy and hold strategy, dynamic asset allocation, strategic asset allocation and tactical asset allocation along with their dimensions. Strategies based hypothetical portfolios are generated on the basis of 14 years’ stock prices (2005-2017). The annually and monthly risk-adjusted return ratios; Sharpe ratio, Treynor’s measure, CAPM and Jenson Alpha are calculated individually. Simulated annualized portfolios generate significant result with Sharpe and treynor measure. Alpha return is generated with buy and hold if based on growth in stock prices. For empirical result, One-way analysis of variance (ANOVA) is used for studying the relationship between the strategies. Post hoc Tukey’s test is applied to find the difference between the strategies. The ANOVA and Tukey’s post hoc test for monthly portfolios gives significant results with three measure Sharpe ratio, CAPM and Jenson Alpha. No empirical significant result is measured on the basis of treynor measure.
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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 (April 10, 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 Alpha, Adjusted Jensen’s Alpha and Sortino) outperforms the JCI as the conventional benchmark. However, Jensen’s Alpha is the only performance measure that is significant and therefore supports that the SKI outperforms the JCI during the overall period from 2009 to 2014. As there is a contradiction between the adjusted returns of Sharpe’s Index/Adjusted Sharpe’s Index and Jensen’s Alpha Index, the hypothesis that the SKI presents a higher risk adjusted performance than the JCI does cannot be accepted. Even though the performance of SKI in this study is slightly lower over the whole period of the study, it is still generating competitive returns.
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Robiyanto, Robiyanto, Sugeng Wahyudi, and Irene Rini Demi Pangestuti. "The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets." Gadjah Mada International Journal of Business 19, no. 2 (August 23, 2017): 167. http://dx.doi.org/10.22146/gamaijb.26260.
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This study evaluates the use of futures contracts for precious metals to hedge against stock market risks and their hedging effectiveness on the Indonesian Stock Exchange (IDX) and the Kuala Lumpur Stock Exchange (KLSE). This study found that gold was the most effective hedging instrument, since it produced the highest hedging effectiveness both on the IDX and the KLSE among the other precious metals. None of the hedged portfolios had a higher Sharpe’s ratio than the unhedged one on the IDX; however, all the hedged portfolios on the KLSE had a higher Sharpe’s ratio than the unhedged ones. Almost all the hedged portfolios could produce a higher Treynor’s ratio than the unhedged portfolios, both on the IDX and the KLSE. In general, this study concluded that studying some precious metals could reduce the investment risk, which was shown through the variance produced by the smaller portfolios, while gold can improve the risk-adjusted performance.
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Łyczkowska-Hanćkowiak, Anna. "On Application Oriented Fuzzy Numbers for Imprecise Investment Recommendations." Symmetry 12, no. 10 (October 13, 2020): 1672. http://dx.doi.org/10.3390/sym12101672.
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The subtraction of fuzzy numbers (FNs) is not an inverse operator to FNs addition. The family of all oriented FNs (OFNs) may be considered as symmetrical closure of all the FNs family in that the subtraction is an inverse operation to addition. An imprecise present value is modelled by a trapezoidal oriented FN (TrOFN). Then, the expected discount factor (EDF) is a TrOFFN too. This factor may be applied as a premise for invest-making. Proposed decision strategies are dependent on a comparison of an oriented fuzzy profit index and the specific profitability threshold. This way we get an investment recommendation described as a fuzzy subset on the fixed rating scale. Risk premium measure is a special case of profit index. Further in the paper, the Sharpe’s ratio, the Jensen’s ratio, the Treynor’s ratio, the Sortino’s ratio, Roy’s criterion and the Modiglianis’ coefficient are generalised for the case when an EDF is given as a TrOFN. In this way, we get many different imprecise recommendations. For this reason, an imprecise recommendation management module is described. Obtained results show that the proposed theory can be used as a theoretical background for financial robo-advisers. All theoretical considerations are illustrated by means of a simple empirical case study.
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Solimanpur, Maghsoud, Gholamreza Mansourfar, and Farzad Ghayour. "Optimum portfolio selection using a hybrid genetic algorithm and analytic hierarchy process." Studies in Economics and Finance 32, no. 3 (August 3, 2015): 379–94. http://dx.doi.org/10.1108/sef-08-2012-0085.
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Purpose – The purpose of this paper is to present a multi-objective model to the optimum portfolio selection using genetic algorithm and analytic hierarchy process (AHP). Portfolio selection is a multi-objective decision-making problem in financial management. Design/methodology/approach – The proposed approach solves the problem in two stages. In the first stage, the portfolio selection problem is formulated as a zero-one mathematical programming model to optimize two objectives, namely, return and risk. A genetic algorithm (GA) with multiple fitness functions called as Multiple Fitness Functions Genetic Algorithm is applied to solve the formulated model. The proposed GA results in several non-dominated portfolios being in the Pareto (efficient) frontier. A decision-making approach based on AHP is then used in the second stage to select the portfolio from among the solutions obtained by GA which satisfies a decision-maker’s interests at most. Findings – The proposed decision-making system enables an investor to find a portfolio which suits for his/her expectations at most. The main advantage of the proposed method is to provide prima-facie information about the optimal portfolios lying on the efficient frontier and thus helps investors to decide the appropriate investment alternatives. Originality/value – The value of the paper is due to its comprehensiveness in which seven criteria are taken into account in the selection of a portfolio including return, risk, beta ratio, liquidity ratio, reward to variability ratio, Treynor’s ratio and Jensen’s alpha.
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Hübner, Georges. "The Generalized Treynor Ratio." Review of Finance 9, no. 3 (January 1, 2005): 415–35. http://dx.doi.org/10.1007/s10679-005-2265-x.
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Qudratullah, Mohammad Farhan. "Treynor Ratio to Measure Islamic Stock Performance in Indonesia." Jurnal Fourier 8, no. 1 (April 30, 2019): 1–13. http://dx.doi.org/10.14421/fourier.2019.81.1-13.
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Treynor Ratio merupakan model pioner inovatif ukuran kinerja saham yang dikemukakan Jack Treynor pada tahun 1965 yang terdiri atas 3 (tiga) komponen, yaitu return saham, return bebas risiko, dan beta saham. Banyak penelitian mendekati return bebas risiko dengan suku bunga termasuk saat mengukur kinerja saham syariah, sedangkan suku bunga dilarang dalam konsep keuangan islam. Tulisan ini membahas variabel alternatif untuk mendekati return bebas risiko selain dengan suku bunga (BI-Rate), yaitu dengan 4 (empat) pendekatan, yaitu: menghilangkan suku bunga, mengganti dengan zakat rate, mengganti dengan inflasi, dan mengganti dengan gross domestic produc (GDP) pada model Treynor Ratio yang diimplementasikan pada pasar modal syariah di Indonesia periode Januari 2011-Juli 2018. Hasil yang diperoleh adalah terdapat kesesuaian yang sangat tinggi hasil pengukuran model Treynor Ratio dengan suku bunga dengan keempat model lainnya. Namun, model-model tersebut tidak menjamin bahwa saham yang memilki kinerja terbaik pada saat ini akan memilki kinerja terbaik dimasa yang akan datang atau sebaliknya. Dilihat dari kedekatan hasil pengukuran kinerjanya, kelima model Treynor Ratio tersebut dapat dikelompokan jadi 2 (dua), yaitu model dengan suku bunga, model dengan inflasi, dan model dengan GDP sebagai kelompok pertama, sedangkan model tanpa suku bunga dan model dengan zakat-rate sebagai kelompok kedua.
[Treynor Ratio is an innovative pioneer model the size of stock performance proposed by Jack Treynor in 1965 which consists of 3 (three) components, namely stock returns, risk free returns, and stock beta. Many studies approach risk-free returns with interest rates, including when measuring the performance of Islamic stocks, while interest rates are prohibited in the concept of Islamic finance. This paper discusses alternative variables to approach risk-free returns other than interest rates (BI-Rate), namely with 4 (four) approaches, namely: eliminating interest rates, changing zakat rates, changing inflation, and substituting gross domestic products (GDP) in the Treynor Ratio model that is implemented in the Islamic capital market in Indonesia for the period January 2011 - July 2018. The results obtained are very high conformity in the measurement results of the Treynor Ratio model with interest rates with the other four models. However, these models do not guarantee that stocks that have the best performance at this time will have the best performance in the future or vice versa. Judging from the closeness of the results of performance measurement, the five Treynor Ratio models can be grouped into 2 (two), namely models with interest rates, models with inflation, and models with GDP as the first group, while models without interest rates and models with zakat-rate as second group.]
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Scholz, Hendrik, and Marco Wilkens. "Zur Relevanz von Sharpe Ratio und Treynor Ratio: Ein investorspezifisches Performancemaß." Zeitschrift für Bankrecht und Bankwirtschaft 15, no. 1 (January 1, 2003): 1–8. http://dx.doi.org/10.15375/zbb-2003-0101.
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Hodges, Charles W., Walton R. L. Taylor, and James A. Yoder. "Beta, the Treynor ratio, and long-run investment horizons." Applied Financial Economics 13, no. 7 (January 2003): 503–8. http://dx.doi.org/10.1080/0960310022000016622.
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Pilotte, Eugene A., and Frederic P. Sterbenz. "Sharpe and Treynor Ratios on Treasury Bonds*." Journal of Business 79, no. 1 (January 2006): 149–80. http://dx.doi.org/10.1086/497409.
Full textDissertations / Theses on the topic "Treynor’s ratio"
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Bernardin, Arthur, and Camille Dumoussaud. "A case study on the risk-adjusted- financial performance of The Vice Fund : The risk-adjusted-financial performance of this fund will be evaluate through a comparison with an other mutual fund having a different investment strategy and with two benchmarks." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-73444.
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Nowadays, there is a debate about the possibility that sin stocks bring higher returns than other ones to the investors. This thesis is a case study on a mutual fund: The Vice Fund. This US fund has a specific investment strategy: it invests in sin stocks. We compared this mutual fund to The Timothy Fund because they have similar characteristics such as – date of inception, total assets, home country and investment universe, expect the investment strategy. Indeed, The Vice Fund invests in sin stocks and The Timothy Fund does not. Two benchmarks are also used in the study: the S&P 500 Index as a domestic benchmark and the MSCI World Index as an international benchmark. This thesis is a case study using a deductive approach on a quantitative ground. The study is done on ten years long from 2003 to 2012. We divided the entire period into three different sub-periods depending of the S&P 500 Index trend. The first and the last sub-periods are bullish and the second one is bearish. In order to analyse both the financial performances and the risks of The Vice Fund we use several tools. We calculated returns and risk-adjusted ratios: the Treynor’s ratio, the Sharpe’s ratio and the Jensen’s ratio. Because these ratios are less accurate in bearish markets, we calculated the normalized Sharpe ratio by doing linear regressions and we also calculated the modified Sharpe ratio. In order to perform these calculations, we used DataStream as a database to obtain prices and dividends for the two mutual funds and the prices for the two benchmarks. We got also the one-month T-bill to have a risk-free rate. We found that The Vice Fund had a better average returns performance whatever the market conditions over the period studied. However the difference between weekly results with The Timothy Plan Fund and the benchmarks is not statistically significant. The risk- adjusted ratios confirmed the superiority of the risk-adjusted financial performance of the sin fund.
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Gaqa, Nandipa. "The Development Role Played by Targeted Development Investments in South Africa and Their Risk-Adjusted Performance Over a 10-Year Period." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/32687.
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The study evaluated the development role of targeted development investments in South Africa and their risk adjusted performance over a 10-Year period, that is from 2008 to 2017. Targeted development investments as a subset of socially responsible investments have transformed the way capital is allocated towards development funding needs. In the South African context this study is relevant given it offers a contrast between investments made in the public sector where development impact is a key objective, versus private sector targeted investments that aim to achieve financial returns whilst also driving development impact objectives aligned to sustainable development goals. The role and impact of these investments in the post democratic era is put in the spotlight given the country is dealing with economic, social, and environmental challenges that have necessitated the need to assess the nature and role of the investment industry in solving these complex development challenges (Giampocaro & Pretorius, 2012). The study on the role of the public sector focused on the investments and development impact indicators tracked by the Top 3 public sector investment institutions or corporations. The analysis on the performance of the private sector TDI funds examined their risk adjusted performance using Treynor, Sharpe, Sortino, and Information ratios. The risk adjusted performance was used to test whether the TDI fund returns under or outperformed against five benchmark categories. The research findings showed mixed results where TDI funds either underperformed or outperformed against the benchmark categories. The findings highlighted the need for a hybrid development model where both the public and private sector actively play a role in the development landscape as guided by their respective investment mandates. The findings advocate for corporate and institutional investors to increase capital allocations and investments towards financing development needs given the scope to maximise investor returns, whilst considering socially responsible investing and issues relating to the development and empowerment of previously disadvantaged communities.
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Kůna, Jakub. "Srovnání výkonnosti v ČR nabízených fondů a ETF z pohledu korunového investora." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-124875.
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This diploma thesis "A Performance Comparison of in Czech Republic available mutual funds and ETFs from the view of CZK investor" elaborates on collective investing in Czech Republic; focusing on mutual funds and their exchange traded alternatives in ETFs. In the thesis, a history of Czech collective investments' development is briefly mentioned and of ETFs' beginnings in the US, also a legislative framework for the mutual funds in CZ is shortly discussed; furthermore, different approaches to fund classification based on various criteria are provided. An impact of fund fees and expenses is also analysed. A Current situation on the capital market of funds and ETFs and its trends are showed in many graphs and tables. In the second part of the thesis, author introduces not only the basic ones but also the more sophisticated methods of portfolio's or fund's performance measurements, including yields, risks, risk-adjusted yields etc... The third and last chapter aims at application of the previously mentioned methods on a selection of 20 funds and ETFs; therefore building a financial model enabling that. The analysis is viewed as from the CZK investor, thus all calculations are made in CZK.
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Csörgö, Tomáš. "Meranie výkonnosti portfólia." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-195516.
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The goal of the master thesis is to analyze portfolio performance. The theoretical part of the thesis describes risk, portfolio performance measurement, investment funds, theory of portfolio. The analysis of portfolio performance is measured by different portfolio measurement tools.
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Mironova, Anastasia, and Lovisa Kynäs. "Ethical investing - why not? : An evaluation of financial performance of ethical indexes in comparison to conventional indexes." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-57115.
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Problem: Do ethical investments perform better than conventional investments? Purpose: To evaluate whether Shariah-compliant indexes and/or socially responsible indexes can improve financial performance of an investment portfolio. Sub-problem: What kind of relationship exists between socially responsible investments and faith-based investments, represented by Shariah-compliant investments? Sub-purpose: To discover how two types of ethical investments, socially-responsible and Shariah-compliant, are related. Method: Quantitative study, covering three types of investment styles of four index families during the period from 2000 until 2011. Financial performance evaluation through the Sharpe ratio, Treynor ratio and Jensen’s alpha. Conclusions: Conventional, socially responsible, and Shariah-compliant indexes do not have any significant differences in financial performance on a global basis. However, Shariah-compliant indexes could slightly over-perform conventional and socially responsible indexes during financial downturns. In the same time socially responsible indexes were noticed to be the most volatile during the whole period of study, to compare with conventional and Shariah-compliant. Regarding relationships, high correlations were found between ethical indexes, as well as between ethical and conventional indexes.
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elf, andreas, and Riffo Eduardo Gonzalez. "Risk-adjusted return performance on a screened index : An empirical investigation of a Shariah screened index and a non-screened index." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Nationalekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-20110.
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This paper investigates whether an Islamic screened benchmark index shows a different risk adjusted performance in comparison to a non-screened benchmark index. In contrast to other papers this study analyzes daily observations in the years from 2007 to 2012, a period heavily affected by the financial crisis. The Capital Asset Pricing Model and the Jensen measure of abnormal returns are used to estimate and compare the indexes mean risk-adjusted returns. The results show that the Islamic index does not reveal any different level of daily mean risk-adjusted returns compared to the conventional non-screened index. Hence, Muslims who align their investments according to the teachings of Islam are not worse off than non-restricted investors following the screened Islamic index.
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Ali, Perwez, and Jakob Håkansson. "Får du vad du betalar för? : Sambandet mellan tillväxtmarknadsfondernas avgifter och dess riskjusterade avkastning." Thesis, Linköpings universitet, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-167042.
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Bakgrund: En stor andel av de svenska invånarna sparar idag i fonder. De senaste åren har utbudet av fonder ökat allt mer, dels genom antalet fondbolag samt spridningen över olika marknader. Fonder allokerade mot tillväxtmarknader, Emerging Markets samt Frontier Markets, är en av de fondtyper som fått större uppmärksamhet på sistone. På grund av lägre grad av transparens från dessa marknader har investerare inte tillgång till lika mycket finansiell information från tillväxtmarknader, de ses även som mindre effektiva jämfört med de mer utvecklade marknaderna. Tillväxtmarknadsfonder tenderar även att ta ut höga avgifter för förvaltningen. Det för oss vidare till att analysera hur förvaltare av tillväxtmarknadsfonder lyckas med sina investeringar sett till den årliga avgift de tar ut för sin förvaltning. Syfte: Syftet med denna uppsats är att studera hur sambandet ser ut mellan fonders årliga avgifter och den riskjusterade avkastningen hos fonder med full allokering mot tillväxtmarknader kategoriserade inom Emerging Markets samt Frontier Markets. Metod: Genom studien har en deduktiv ansats och en kvantitativ metod tillämpats för att undersöka samband mellan flertalet variabler mot den beroende variabeln, Total Expense Ratio. Vi har hämtat in månadsdata från ett urval av 50 fonder via Thomson Reuters som vi sedan analyserat genom nyckeltal samt regressioner. Slutsats: Studiens resultat tyder på att det finns ett negativt samband mellan fondernas riskjusterade avkastning och dess årliga avgift. Vi ser att fonderna med högre avgift tenderar att resultera i en lägre riskjusterad avkastning.Background: Today most of the swedes saves in mutual funds. The past few years we have seen an increase in the supply of mutual funds. Funds allocated to Emerging Markets and Frontier Markets has gotten more attention as well. These markets have a lower grade of transparency and has a lack of financial information compared to more developed markets. Studies has shown that they are also less efficient than the developed. Mutual funds in Emerging Markets tends to charge higher fees for their management. These factors make it interesting to analyze how the trustees of the mutual funds succeed in their investments related to the Total Expense Ratio that they charge. Purpose: The purpose of this study is to analyze the relationship between mutual funds’ Total Expense Ratio and their risk adjusted return for funds allocated to Emerging Markets and Frontier Markets. Methodology: The authors have used a deductive approach and a quantitative methodology to fulfill the aim of this study. We have gathered data by observing 50 mutual funds and retrieved the data from Thomson Reuters. We have then analyzed the data by calculating key ratios and by regression analysis. Conclusion: The results of this study show that there is a negative relationship between mutual funds’ total expense ratio and their risk adjusted return. We note that mutual funds with higher expense ratios tends to result in lower risk adjusted return.
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Javidfar, Fargol, and Zhiwen Luo. "Asset Composition and Performance of Swedish Listed Mutual Funds." Thesis, Umeå universitet, Företagsekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-93066.
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Fund investments are very popular in Sweden. However, we have the impression that despite this popularity, the average fund investor in Sweden does not pay much attention to the importance and possible link of fund’s asset composition features (e.g. Asset class, Holdings, and Geo-exposure) to fund’s performance. Instead, S/he relies on factors such as fees, risk levels, historical performance, etc. in her/his investment decisions. Similarly, academic studies mainly focus on attributes such as funds fees, size, and manager’s skill to explain fund’s performance. Thus there are limited premier academic studies on the relationship between fund’s performance and its asset composition features. The main purpose of this study is to investigate possible causal relationship between the performances of funds with their assets composition features. We study the whole population of 346 Swedish listed mutual funds older than five years for the period 2009-2013. The results of the study provides the investors and analysts with additional decision-making and investment-analysis tools to assist them in making more informed judgment on funds and their expected returns. The results are also useful for fund managers to improve their strategies by refining the combinations of their funds’ asset composition attributes in order to improve the absolute risk-adjusted performance of their funds. Our research philosophy has been based on positivism and objectivism along with functionalist paradigm and we have applied deductive approach to test the theories. We have used quantitative method and collected the funds’ data from public business databases and chosen Jensen’s alpha and Treynor ratio as funds’ risk-adjusted performance measures. We performed Correlation tests and Regression with robust techniques on our data to answer the research question from three aspects, namely asset class (equity, bond, and mixed assets); geo-exposures (Sweden, Global, Europe, and Nordic) and Top-ten holdings’ measures (asset concentration and Treynor of each fund’s passive top-ten sub-portfolio). We conclude that correlations between funds’ risk-adjusted performance and assets composition features are likely to exist. Stronger correlations are observed between the explanatory measures and fund’s relative risk-adjusted performance (fund’s Treynor) as compared to fund’s absolute risk adjusted performance (fund’s Jensen’s alpha). Asset concentration in top-ten holdings and bond asset class are more likely to be in casual relationship with fund’s risk-adjusted performance, whereas Treynor ratio of top-ten holdings’ passive sub-portfolio as well as fund’s geo-exposure do not seem to have strong explanatory power for funds’ absolute performance.
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Bergensand, Erica, and Niklas Svahn. "En jämförelsestudie av AP-fonderna och bankernas Sverigefonder 2003-2010." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-16972.
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Background: In 1999 the Swedish pension system was reformed with an aim to create a stable and high return on pension assets. First, Second, Third and Fourth general pension funds, hereby referred to as AP1-AP4, had an important part in the reform. AP1-AP4, also called the buffer funds, was assigned to secure long-term, big parts of the pension capital. The funds objective is by law, to manage the fund's assets in a manner that provides maximum benefit for the state pension. The funds will also invest pension assets with an overall low level of risk while achieving a sustainable high return. Aim: The purpose of this study is to investigate whether the First-Fourth AP-Funds is meeting its objectives regarding risk and return according to Swedish law. The aim is also to see how AP1-AP4 risk-adjusted returns compare to the four Sweden funds risk-adjusted returns according to modern portfolio theory. Theory: Morningstar Rating, Treynor ratio, Sharpe ratio, Jensen's Alpha, Standard Deviation, Beta. Conclusion: The risk-adjusted performance measures used in this study shows that there are clear differences between the two fund groups, where the AP-funds performed worse than the Sweden funds in every measurement. The study shows that the pension funds do not reach their goals over the five-year period, in four of the five time intervals listed in the study. In summary, the study shows that pension funds have a lower risk-adjusted return than the four bank Sweden funds and that the pension funds have not achieved their goals.
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Lundgren, Anton, and Sara Ahlgren. "P/B i kombination med marknadsvärde : En studie på Stockholmsbörsen 2006 - 2016." Thesis, Linköpings universitet, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-138819.
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Bakgrund: Denna studie är ett test av investeringsstrategi baserad på relativvärdering av multiplar. Den multipel som kommer att studeras som investeringsstrategi är Price-to-Book (P/B). Valet av multipel på P/B beror på att det är en väl omskriven multipel som fortfarande väcker frågeställningar avseende betydelsen av bokfört värde i kombination med marknadsvärde. Syfte: Syftet med denna studie är att undersöka och analysera multipeln P/B som investeringsstrategi för aktier. Vidare syftar studien till att undersöka aktier med låga respektive höga P/B från de olika börslistorna Small, Mid och Large Cap på Stockholmsbörsen. Genomförande: Sex portföljer skapas baserat på låga respektive höga P/B från de marknadsvärdemässiga börslistorna Small, Mid och Large Cap på Stockholmsbörsen. Portföljerna ombalanseras årligen och följs mellan 2006 och 2016. Resultat: Fyra av sex portföljer har högre ackumulerad avkastning än jämförelseindex före och efter riskjustering. Dock hindrar svag statistisk evidens påvisande av överavkastning över tid. På motsvarande vis finnes svaga säkerställda skillnader i avkastning mellan låga och höga P/B. Ej heller förefaller det förekomma signifikanta skillnader i avkastning och risk mellan portföljer på Small, Mid och Large Cap.Background: This study is a test of an investment strategy based on relative valuation of multiples. The multiple to be studied is Price-to-Book (P/B). P/B is chosen because although previously researched, the implications of book values paired with market values are still not well understood. Aim: The aim of this study is to examine and analyze the multiple P/B as an investment strategy for stocks. Moreover, this study intends to examine stocks with low and high P/B: s from the Small, Mid and Large Cap on the Stockholm Stock Exchange. Completion: Six portfolios are created based on low and high P/B: s respectively from the market value-based stock exchange lists Small, Mid and Large Cap on the Stockholm Stock Exchange. The portfolios are rebalanced annually and are followed between 2006 and 2016. Results: Four out of six portfolios exhibit higher levels of cumulative returns than the chosen stock index before and after adjusting for risk. However, weak statistical evidence prevent conclusive showings of excess returns over time. Similarly, we find weak support for differences in returns between low and high P/B: s. Neither does there seem to exist significant differences in return and risk between the Small, Mid and Large Cap.
Book chapters on the topic "Treynor’s ratio"
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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, 233–65. London: Palgrave Macmillan UK, 2018. http://dx.doi.org/10.1057/978-1-137-44701-2_6.
Full textConference papers on the topic "Treynor’s ratio"
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Halim, Nurfadhlina Abdul, Nadhirah Gazali, Siti Zubaidah Yaso, and Wan Muhamad Amir W. Ahmad. "Efficiency testing of Malaysian Takaful fund using Treynor’s and Sharpe’s ratio." In PROCEEDINGS OF INTERNATIONAL CONFERENCE ON ADVANCES IN MATERIALS RESEARCH (ICAMR - 2019). AIP Publishing, 2020. http://dx.doi.org/10.1063/5.0018871.
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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.
Full textAbstract:
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 of mutual funds in Lithuanian market on the basis of risk and return criteria using different tools such as Sharpe ratio, Treynor ratio, and Jensen Alpha and others. Also there is analysed variation of these performance measures during selected time period, and discovered periods, when mutual funds perform above and below than market indices.