Implications of Sharpe Ratio as a Performance Measure in Multi-Period Settings

Cvitanić, Jakša; Wang, Tan; Lazrak, Ali

doi:10.2139/ssrn.962187

Cited by 13 publications

(22 citation statements)

References 48 publications

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“…Hence, in addition to the utilization of Sharpe Index, Treynor Ratio, Jensen Index, and Sortino Ratio, this study also uses Adjusted Sharpe Index and Adjusted Jensen Index. Jobson & Korkie (1981), Cvitanic, Lazrak, & Wang (2007), and Zulkafli, Ahmad, & M. (2017) stated that the Sharpe Ratio have a weakness and could biased. Pav (2016) stated that the occurence of this bias was led by the noise of time series data.…”

Section: |mentioning

confidence: 99%

Performance Evaluation of Equity Mutual Funds in Indonesia

Pangestuti

Wahyudi

Robiyanto

2017

Jurnal Keuangan Dan Perbankan

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Mutual funds considered as an investment alternative for investors. One type of mutual fund that attracts many investors was the equity mutual funds. Equity mutual fund is a type of mutual funds that most part of the investment consists of stocks in the capital market so the risk rate was higher than the other types of mutual funds. For its different characteristic, the measurement for equity funds performance did not be same with other types of mutual funds. As a stock portfolio, equity mutual funds can be measured by portfolio measurement methods such as Sharpe Index, Treynor Ratio, Jensen Index, Adjusted Sharpe Index, Adjusted Jensen Index, and Sortino Ratio. This study was conducted by using all of those performance measurements as most research in Indonesia was conducted by using limited performance measurements (focusing on Sharpe Index, Treynor Ratio, and Jensen Index). This study aims to evaluated the performance of 42 equity mutual funds available in Indonesia by employing Sharpe Index, Treynor Ratio, Jensen Index, Adjusted Sharpe Index (ASI), Adjusted Jensen Index (AJI), and Sortino Ratio because most previous researches in Indonesian setting disregards ASI and AJI. In general, it was concluded that the SAM Indonesian Equity was the best performing equity fund during the study period. It was further found that most equity mutual fund studied have been well diversified. ABSTRAKReksa dana merupakan alternatif investasi bagi kalangan investor. Salah satu reksa dana yang banyak menarik kalangan investor adalah reksa dana saham. Reksa dana saham adalah jenis reksa dana yang sebagian besar investasinya terdiri dari saham-saham di pasar modal, sehingga memiliki tingkat risiko yang lebih besar dibandingkan jenis-jenis reksa dana yang lain. Karena memiliki karakteristik yang berbeda,maka pengukuran kinerja reksa dana saham tidak dapat disamakan dengan jenis reksa dana yang lain. Sebagai portofolio, maka reksa dana saham dapat diukur dengan menggunakan metode-metode pengukuran portofolio seperti Sharpe Index, Treynor Ratio, Jensen Index, Adjusted Sharpe Index, Adjusted Jensen Index, dan Sortino Ratio. Penelitian ini dilakukan dengan menggunakan seluruh pengukuran kinerja tersebut karena kebanyakan penelitian di Indonesia dilakukan dengan terbatas pada beberapa pengukuran kinerja saja (berfokus pada Sharpe Index, Treynor Ratio dan Jensen Index). Penelitian ini bertujuan untuk mengevaluasi kinerja 42 reksa dana saham yang terdapat di Indonesia dengan menggunakan Sharpe Index, Treynor Ratio, Jensen Index, Adjusted Sharpe Index, Adjusted Jensen Index, bahkan Sortino Ratio. Secara umum disimpulkan bahwa dengan menggunakan berbagai alat pengukuran yang ada maka reksa dana saham SAM Indonesian Equity merupakan reksa dana saham dengan kinerja yang terbaik selama periode penelitian. Lebih lanjut ditemukan pula bahwa sebagian besar reksa dana saham yang dikaji telah terdiversifikasi dengan baik.

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Section: |mentioning

confidence: 99%

Performance Evaluation of Equity Mutual Funds in Indonesia

Pangestuti

Wahyudi

Robiyanto

2017

Jurnal Keuangan Dan Perbankan

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“…Most of the previous similar research were using only Sharpe Index, Treynor Ratio, and Jensen Alpha. In fact, the Sharpe Index and Jensen Alpha have weaknesses, thus, they often need adjustments (Cvitanic, Lazrak & Wang, 2007;Kidd, 2011;Zulkafli, Ahmad & M., 2017).…”

Section: Introductionmentioning

confidence: 99%

Gold and capital market in Indonesia: A preview on strategy of hedging and diversification

Robiyanto¹,

Hadiyatno²,

Sudjinan³

et al. 2019

Journal of International Studies

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This study examines the establishment of a portfolio among sharia stocks represented by the Jakarta Islamic Index (JII) with gold (gold futures contracts). Gold price used in this research was the gold price in the international market which was in USD denomination and also converted into Rupiah (IDR), by considering commodity futures instruments in Indonesia using fixed rate or floating rate option. The data analysis technique used in this research was the dynamic portfolio formulation by using Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH), so that the portfolio produced was an active portfolio and it could change its composition over time. The results of this study indicate that gold is able to provide hedging effectiveness as well as to reduce the volatility of sharia stocks included in the JII in the Indonesia Stock Exchange. This research is also able to prove that including gold instruments into a sharia-based stock portfolio can

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“…See Zakamouline and Koekebakker (2009) for a preference-type approach based on the Generalized Sharpe ratio. The inadequacy of Sharpe ratio is also studied in a dynamic setting, see Cvitanic, Lazrak, and Wang (2008).…”

Section: Most Used Acceptability Indexes and Lack Of Robustnessmentioning

confidence: 99%

Ranking of investment funds: Acceptability versus robustness

Rossello

2015

European Journal of Operational Research

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Implications of Sharpe Ratio as a Performance Measure in Multi-Period Settings

Cited by 13 publications

References 48 publications

Performance Evaluation of Equity Mutual Funds in Indonesia

Performance Evaluation of Equity Mutual Funds in Indonesia

Gold and capital market in Indonesia: A preview on strategy of hedging and diversification

Ranking of investment funds: Acceptability versus robustness

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