Portfolio Performance Measurement: Monotonicity with Respect to the Sharpe Ratio and Multivariate Tests of Correlation
| Autor: | Maria Ceu Cortez, Nelson Areal, Florinda Silva, Manuel José da Rocha Armada, C. J. Adcock, Benilde Oliveira |
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| Rok vydání: | 2017 |
| Předmět: |
Multivariate statistics
050208 finance Sharpe ratio 05 social sciences Monotonic function Investment (macroeconomics) 01 natural sciences Correlation 010104 statistics & probability 0502 economics and business Statistics Economics Econometrics Portfolio Probability distribution Performance measurement 0101 mathematics |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.2707523 |
| Popis: | This paper shows that there is a broad class of probability distributions for fund returns under which many well-known performance measures are monotonically increasing functions of the Sharpe ratio. It also reports results showing conditions under which monotonicity can fail. The paper shows that under regularity conditions the asymptotic correlation between pairs of performance measures is equal to unity. This result is used to derive unconditional and conditional multivariate tests of unit correlation between an arbitrary number of performance measures. A study of UK investment trusts supports the results. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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