A survey on the four families of performance measures

M Caporin, GM Jannin, F Lisi… - Journal of Economic …, 2014 - Wiley Online Library
Performance measurement is one of the most studied subjects in financial literature. Since
the introduction of the Sharpe ratio in 1966, a large variety of new measures has appeared …

[HTML][HTML] Influence of risk propensity, behavioural biases and demographic factors on equity investors' risk perception

R Saivasan, M Lokhande - Asian Journal of Economics and Banking, 2022 - emerald.com
Purpose Investor risk perception is a personalized judgement on the uncertainty of returns
pertaining to a financial instrument. This study identifies key psychological and demographic …

[BOOK][B] Portfolio optimization and performance analysis

JL Prigent - 2007 - taylorfrancis.com
In answer to the intense development of new financial products and the increasing
complexity of portfolio management theory, Portfolio Optimization and Performance Analysis …

The 101 ways to measure portfolio performance

P Cogneau, G Hübner - Available at SSRN 1326076, 2009 - papers.ssrn.com
This paper performs a census of the 101 performance measures for portfolios that have
been proposed so far in the scientific literature. We discuss their main strengths and …

Financialization of Commodity Markets

A Zaremba - The Financialization of Commodity Markets: Investing …, 2015 - Springer
The process that led the world economy to the global financial crisis, as well as its explosion,
was accompanied by an unprecedented increase of prices in the commodity markets. The …

[HTML][HTML] Style-exposure analysis of large-cap equity mutual funds in India

D Mohanti, PK Priyan - IIMB management review, 2018 - Elsevier
The purpose of the study is to examine the investment style of the large-cap equity mutual
funds in India using style-exposure analysis proposed by Sharpe (1992). The study uses the …

The Sharpe ratio's market climate bias: Theoretical and empirical evidence from US equity mutual funds

S Krimm, H Scholz, M Wilkens - Journal of Asset Management, 2012 - Springer
This article analyses the impact of market climates on the Sharpe ratios (SRs) of funds. On
the basis of a common factor model, we derive analytically how market climates impact the …

[PDF][PDF] The Impact of Portfolio Strategy on the 'Style'Performance of UK Property Companies

HM Ali, L Ruddock - Journal of Financial Management of Property …, 2000 - researchgate.net
This study applied a constrained multiple regression model to the examination of property
portfolio exposure. An asset class factor model namely return-based style analysis (RBSA) …

Style Analysis: Asset Allocation & Performance Evaluation of Indonesian Equity Funds, April 2004–March 2009

B Mangiring, ZA Husodo - The Indonesian Capital Market …, 2014 - scholarhub.ui.ac.id
This paper explores investment styles and risk exposures of mutual funds in Indonesia using
Sharpe's return-based style analysis, a quadratic optimization of an asset class factor model …

Performance of Indian equity mutual funds vis-a vis their style benchmarks: an empirical exploration

SG Deb, A Banerjee, BB Chakrabarti - 10th Capital Markets …, 2007 - papers.ssrn.com
In this paper we did a return based style analysis of equity mutual funds in India using
quadratic optimization of an asset class factor model proposed by William Sharpe. We found …