Portfolio Performance Measurement:  Review of Literature and Avenues  of Future Research

Marhfor, Ahmed

doi:10.4236/ajibm.2016.64039

Cited by 10 publications

(8 citation statements)

References 13 publications

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“…The results will be justified by the existence of a negative relation between the conditional beta of mutual funds and the market premium. Ferson and Warther (1996) provided two explanations for this negative relationship (Marhfor 2016). Firstly, this correlation can be explained by the emergence of new players, and therefore, new cash flows that are likely to change the composition of mutual funds and consequently to modify their exposure to risk.…”

Section: Active Management Strategiesmentioning

confidence: 99%

Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds

Zouaoui

2019

IJFS

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This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis (locally, Arab, internationally) and Sharia compliance (Islamic and conventional). The empirical results indicate that Islamic funds underperformed conventional funds internationally but not locally. Findings suggest that the market selectivity skills of managers in the Islamic funds are better than the conventional funds. In addition, only the managers of Saudi conventional funds investing internationally have a good market timing skills, thus, they are able to beat the market index by predicting its movements and buying and selling accordingly. Furthermore, this study gives a brief idea about the performance persistence of HSBC Saudi funds. The results confirm existence of the persistence performance when the funds do not apply Sharia law and when they are instead focused internationally.

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Section: Active Management Strategiesmentioning

confidence: 99%

Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds

Zouaoui

2019

IJFS

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“…The choice of 5y monthly sample period was based on the observation that fund managers generally use between three and five years of monthly return data for portfolio construction and performance metric estimation (Marhfor, 2016). The authors opted for the longer-range to include more return data and embrace a greater fraction of the business cycle (the average business cycle frequency in South Africa is about seven years (Thomson & van Vuuren, 2016), so the 5y sample period encapsulates almost one full cycle).…”

Section: Resultsmentioning

confidence: 99%

Optimal omega-ratio portfolio performance constrained by tracking error

Gunning

Vuuren

2020

Investment Management and Financial Innovations

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The mean-variance framework coupled with the Sharpe ratio identifies optimal portfolios under the passive investment style. Optimal portfolio identification under active investment approaches, where performance is measured relative to a benchmark, is less well-known. Active portfolios subject to tracking error (TE) constraints lie on distorted elliptical frontiers in return/risk space. Identifying optimal active portfolios, however defined, have only recently begun to be explored. The Ω – ratio considers both down and upside portfolio potential. Recent work has established a technique to determine optimal Ω – ratio portfolios under the passive investment approach. The authors apply the identification of optimal Ω – ratio portfolios to the active arena (i.e., to portfolios constrained by a TE) and find that while passive managers should always invest in maximum Ω – ratio portfolios, active managers should first establish market conditions (which determine the sign of the main axis slope of the constant TE frontier). Maximum Sharpe ratio portfolios should be engaged when this slope is &gt; 0 and maximum Ω – ratios when &lt; 0.

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“…Determining expected portfolio return (Hartono, 2013, p.387) 13. Calculating the stock performance by using Sharpe Method (Marhfor, 2016) 14. Calculating the stock performance by using Treynor Method (Marhfor, 2016) 15.…”

Section: Determining the Magnitude Of The Proportion Of Each Securitymentioning

confidence: 99%

“…Calculating the stock performance by using Sharpe Method (Marhfor, 2016) 14. Calculating the stock performance by using Treynor Method (Marhfor, 2016) 15. Calculating the stock performance by using Jansen Method (Tandelilin, 2010, p. 500) 16.…”

Section: Determining the Magnitude Of The Proportion Of Each Securitymentioning

confidence: 99%

Critical Analysis of Sharpe, Treynor and Jensen Methods in Analyzing Stock Portfolio Performance LQ-45 Stock Studies

Qur'anitasari

Nuzula²,

Darmawan³

2019

APMBA

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The purpose of this study is to determine the stocks of the LQ-45 Index which form a portfolio based on a single index model, analyzed by Sharpe, Treynor, and Jensen methods, whether there are differences in the results of calculations and which is the most appropriate in measuring portfolio performance. The method used in this research is descriptive research with a quantitative approach and the data source used is secondary data from the Indonesia Stock Exchange. The population used is the LQ-45 Index shares for the period 2013-2018 and based on established criteria, a sample of 22 shares was obtained. Based on the methods of Sharpe, Treynor, and Jensen, the portfolio performance that is formed experiences a similar and fluctuating movement. Because the three methods produce almost the same value movement, the determination of slope (linear curve) requires accuracy. Therefore re-testing is done by using Robustness Test, namely by doing the Regression Test. With the magnitude of the value of b, it shows that the Sharpe method is most appropriate to be used in measuring portfolio performance in this study. Researchers suggest for further research, in the formation of portfolios can use other portfolio formation models. This research in the formation of LQ-45 stock portfolios using the single index model method, the portfolio formed is only one portfolio each year which causes less number of portfolios compared. In addition to the Sharpe, Treynor, and Jensen methods, researchers can then use other performance measurement methods for comparisons, such as M2 (Modigliani-Modigliani) and Information Ratio (RI).

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Portfolio Performance Measurement: Review of Literature and Avenues of Future Research

Cited by 10 publications

References 13 publications

Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds

Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds

Optimal omega-ratio portfolio performance constrained by tracking error

Critical Analysis of Sharpe, Treynor and Jensen Methods in Analyzing Stock Portfolio Performance LQ-45 Stock Studies

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