# Taux d įvedimo akcijų pasirinkimo sandoriai

The ways to measure portfolio performance Abstract This paper performs a census of the performance measures for portfolios that have been proposed so far in the scientific literature.

We discuss their main strengths and weaknesses and provide a classification based on their objectives, properties and degree of generalization.

The measures are categorized based on the general way they are computed: asset selection vs. We show that several categories have been exhausted while some others feature very heterogeneous ways to assess performance within the same sets of objectives. Introduction Since the introduction of the Sharpe ratio inmany different measures of portfolio performance have been introduced in the scientific as well as practitioners literature.

Yet, there exists no census of all of them. The most complete study so far is due to Le Sourd [], but it mentions about fifty different measures1.

### Kokia Luno vizija?

From an exhaustive review of the relevant literature, we have identified one hundred and one portfolio performance measures2. The main purpose of this paper is to provide a taxonomy of them.

It naturally involves the identification of categories, in which we gather those measures that display common characteristics. Hence, we do not only provide an exhaustive list, but also a partition of the performance measurement area in homogenous categories.

Whenever there exists a performance measure that provides a proper generalization of any measure within the same category, then common sense dictates the usage of this particular measure and the abandonment of any other attempt to research further in that direction.

A general typology Insert exhibit 1 approximately here Exhibit 1 displays the structure of the simple binary classification tree proposed in this paper.

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In the first level, we distinguish the types of skills reflected in the measures, namely asset selection versus market timing. Measures that reflect asset selection are themselves split according to the individualization of performance. Finally, in the category of risk-adjusted performance measures, all corresponding measures can be classified according to a double entry table. The first dimension represents the measure of value creation, whether it is an excess return or a gain potential.

The second dimension reports the type of performance translation, in relative ratio or absolute difference terms.

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Each category corresponds to a given section or sub-section. The sub-classifications are made according to how risk is measured. Absolute risk 2.

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Sharpe ratio and close variations The original measure of this kind is the Sharpe ratio [Sharpe, ], defined as the ratio of the mean return in excess of the risk free rate over its standard deviation. Simplicity and ease of interpretation are the main strengths of this ratio4.

For these reasons, it is still widely used by financial institutions to compare the performance of mutual funds. Central to the usefulness of the Sharpe Ratio is the fact that an excess return represents the result of a "zero- investment strategy". So, it represents the payoff from a unit of investment financed by borrowing.

### Įrašų naršymas

On the other side, the Sharpe ratio exhibits numerous drawbacks as well. First, it does not quantify the value added, if any: it is only a ranking criterion. The risk free rate is constant and identical for lending and borrowing. In its computation, the choice of risk-free laisvos darbo vietos montavimo darbai namuose is important, as it affects rankings — though the impact is rather weak.

Considering the point of view of the investor, his investment horizon must match the performance measurement period.

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Furthermore, as it measures the total risk, Sharpe ratio is only suitable for investors who invest in only one fund.

In case of aggregation of portfolios, its consolidation is not straightforward because of the covariance effects between volatilities. Its interpretation is also difficult when it is negative: if risk increases, the Sharpe ratio also increases.

With this measure, the values have a wider range in size, but do not give useful information in absolute. A problem rarely mentioned is the sampling error embedded in the values of the ratio. The estimate of the standard deviation is measured with statistical noise. Vinod and Morey [] introduce the double Sharpe ratio, computed as the quotient of the Sharpe ratio estimate by its standard deviation. To compute it, they use a bootstrapping methodology and generate a great number of resamplings from the original return sample.

### Applications Linguee

The assumption of a Taux d įvedimo akcijų pasirinkimo sandoriai returns distribution does not hold for many funds, in particular for hedge funds, so different statistical adaptations were proposed in the literature. Spurgin [] shows that with the issuance of out- of-the-money options, the manager of a fund can enhance the Sharpe ratio by enhancing the mean-variance trade-off and altering the tail of his portfolio.

Statistical variations are proposed to tackle this issue, by including higher moments in the formula. Mahdavi [] introduces an adjusted Sharpe ratio ASR to evaluate assets whose return distribution is not normal. The approach is to transform the payoff so that its distribution will match that of the benchmark: once the return is transformed, the resulting Sharpe ratio of the asset can be directly compared to that of the benchmark, knowing the total payoffs from both instruments have taux d įvedimo akcijų pasirinkimo sandoriai the same distributions.

He suggests a Sharpe ratio adapted to autocorrelation whose formula included a bias corrector.

## Akciju Portfelio Rodikliu Ir Akciju Indikatoriu Zinynas

In fact, this is more a bias corrector than a true new measure. Even, the idea to multiply a performance measure by a bias corrector can be extended to every other performance measure. The reference value in Sharpe ratio is the risk free rate. An interesting variation is proposed by Taux d įvedimo akcijų pasirinkimo sandoriai inso fourteen years before Sharpe.

He proposes to compare the return to a reserve return that is specific for the investor. Indeed, in many measures, authors use both the risk-free and the reserve return in the numerator.

### Document Information

Despite all these statistical adaptations, most issues of the Sharpe ratio remain. This explains why many variations of the Sharpe ratio were introduced. Other absolute risk measures 3. But most investors are only afraid of negative variations.

The Sharpe ratio does not make any distinction between upside risk and downside risk. In the reward to half-variance index, introduced by Ang and Chua [], the standard deviation is replaced by the half-variance which considers only the returns lower than the mean. Pure downside-risk, i. Within this category, the most widely used measure is the Sortino ratio6 because of its flexibility.

It combines previous measures, subtracting like Roy a reserve return in the numerator, and considering the same reserve return in the computation of the semi-variance at the denominator. Value at Risk is the measure selected by the investor who is mostly concerned by disasters, i. Dividing the VaRα by the initial value of the portfolio, we obtain a percentage of loss which is a risk indicator and can be used as denominator in the Sharpe ratio.

Dowd [, ] calls it logically Sharpe ratio based on the Value at Risk. This measure also tackles one important drawback of the Sharpe ratio, its inability to distinguish between upside and downside risks. It also discriminates the irregular losses as opposed to repeated losses.

It is particularly useful when making hedge decisions, as it permits to avoid the excessive use of micro hedges against individual risk exposures. The accurate numerical estimation of the VaR is computationally intensive and can be quite taux d įvedimo akcijų pasirinkimo sandoriai, especially needing large databases.

Its formula includes the third and fourth moments of the iq pasirinkimo prekybos robotas, so also presenting the advantage to cover non normal distribution of returns. There are other issues related to the VaR. It is sensitive to the selected threshold, as conflicting results happen sometimes at different confidence levels. As for any quantile measure, it is not sub- additive, which implies that portfolio diversification may lead to an increase of risk.

## Galas uniformoms? Viliaus MAČIULAIČIO nuotr.

It does not measure losses exceeding VaR, which are definitely of interest, even more than the VaR itself. Finally, VaR has many local extremes, leading to unstable rankings. It assesses how deep is the loss in case of a disaster, and not anymore to estimate the threshold from where one can speak of disaster.