Empirical studies on the performance of unit trusts in Singapore.
Early studies on portfolio performance used various measures such as the Sharpe ratio, the Treynor ratio and the Jensen measure to determine the asset selection skills of portfolio managers. These measures differ in their definition of risk and their assumption of the investor's attitude to...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Theses and Dissertations |
| Language: | English |
| Published: |
2011
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/42723 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Nanyang Technological University |
| Language: | English |
| Summary: | Early studies on portfolio performance used various measures such as the Sharpe ratio,
the Treynor ratio and the Jensen measure to determine the asset selection skills of
portfolio managers. These measures differ in their definition of risk and their assumption
of the investor's attitude to what sort of risk is appropriate. While these one-parameter measures provide an assessment of performance vis-a-vis the risk level of the portfolio, they do not give any indication of market timing ability of the portfolio managers. Also two of the measures (Treynor ratio and Jensen measure) is based on a linear single index model of risk and return. As shown by Grant (1977) and Jensen (1968), the presence of effective market timing skills will cause a downward bias on the performance measures based on the single index model. To overcome this, Henriksson and Merton (1981; hereafter referred to as HM) propose a model that allows for the measurement of both market timing and asset selection. This model based on the equilibrium framework of Merton (1981), where market timing forecast focuses on whether stocks will outperform bonds. |
|---|