Browsing by Subject "Sharpe ratio"
Now showing items 1-4 of 4
-
Evaluating novel hedge fund performance measures under different economic conditions
(2014)Performance measurement is an integral part of investment analysis and risk management. Investment performance comprises two primary elements, namely; risk and return. The measurement of return is more straightforward ... -
Flagging potential fraudulent investment activity
(Emerald, 2016)Purpose: This paper aims to investigate the use of the bias ratio as a possible early indicator of financial fraud - specifically in the reporting of hedge fund returns. In the wake of the 2008-2009 financial crisis, ... -
Optimizing tracking error-constrained portfolios
(Taylor & Francis, 2018)Active portfolios subject to tracking error (TE) constraints are the typical setup for active managers tasked with outperforming a benchmark. The risk and return relationship of such constrained portfolios is described ... -
Performance of socially responsible investment funds in South Africa
(2015)Socially responsible investing has presented itself as a growing, multifaceted, advanced and sophisticated investment philosophy. Socially responsible investment (SRI) involves incorporating social, ethical and responsible ...