Risk-adjusted Performance of Romanian Bond Funds during the Global Economic Crisis

Filip, Angela-Maria; Pece, Andreea Maria; Lăcătuş, Viorel

doi:10.1016/s2212-5671(15)01517-8

Cited by 2 publications

(2 citation statements)

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“…An investment strategy that was considered quite successful, which was characterized by low volatility and holding period returns and positive risk adjustments, was the massive migration of bond funds to safer instruments. Performance evaluation during the crisis shows that using risk-adjusted performance consisting of the Treynor ratio, Sharpe ratio, and Jensen’s alpha, all three show a positive value [ 29 ].…”

Section: Resultsmentioning

confidence: 99%

“…Performance evaluation during the crisis shows that using risk-adjusted performance consisting of the Treynor ratio, Sharpe ratio, and Jensen's alpha, all three show a positive value [29]. Table 6 presents regression results of the α, β, f statistic, and adjusted R square data needed in the calculation of performance evaluation of individual stock using Treynor, Sharpe Index, and Jensen Alpha.…”

Section: Variable Value Variable Valuementioning

confidence: 99%

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Impact of COVID-19 on Performance Evaluation Large Market Capitalization Stocks and Open Innovation

Nurhayati

Endri

Aminda

et al. 2021

Journal of Open Innovation: Technology, Market, and Complexity

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This research is an event study that evaluates the performance of large market capitalization shares using a performance model that is adjusted to risks due to the COVID-19 outbreak. The study measured the performance of large market capitalization stocks which represented each tick size on the Indonesian Stock Exchange during the COVID-19 pandemic using the Sharpe Index, the Treynor Ratio, and Jensen’s Alpha. The sample selection used a purposive sampling technique and 24 stocks were selected as samples in the study. We used the daily closing price of stocks, the Indonesia composite index, and average risk-free rate return (BI rate). By using Jensen’s Alpha, this study found that FREN was the highest beta with a value of 1.8189, indicating that the index was an effective and well-diversified stock. FREN is low priced and the highest market capitalization stock in its tick size (third tier stocks). Jensen’s Alpha is good for measuring the performance of large capitalization and low-priced stocks. There are eight stocks that always have negative values in each method of measuring stock performance, which indicates that these stocks underperformed during COVID-19.

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Section: Resultsmentioning

confidence: 99%

Section: Variable Value Variable Valuementioning

confidence: 99%