Browsing Faculty of Economic and Management Sciences by Subject "Sharpe Ratio"
Now showing items 1-5 of 5
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The bias ratio as a hedge fund fraud indicator: an empirical performance study under different economic conditions
(Clute Institute, 2014-07)The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio ... -
Establishing the relative competitiveness of South African banking shares: a Kalman filter approach
(Clute Institute, 2015)It is argued that the Basel III Accord will undermine the ROE of South African banks, and with the downgrading of South African banks during August 2014, will force investors to revaluate South African banking shares as ... -
Hedge fund performance evaluation using the sharpe and omega ratios
(Clute Institute, 2014-05)The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio ... -
Hedge fund performance using scaled Sharpe and Treynor measures
(Clute Institute, 2014-11)The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investment funds, but because it is based on mean-variance theory, it only considers the first two moments of a return distribution. ... -
The influence of higher moments and non-normality on the sharpe ratio: a South African perspective
(Clute Institute, 2015)Although the general assumption is that daily and monthly return data are normally distributed (Aparicio & Estrada, 2001), the correct statistical distribution of returns must first be established (Linden, 2001), as it ...