Performance measures: Traditional versus new models

Performance measures: Traditional versus new models

The thesis analyzed the performance of 5,987 mutual funds using a database called Steele Mutual Fund Experts and compared the predicting ability of various measures of performance. The measures discussed in the thesis are Treynor Ratio, Sharpe Ratio, Jensen's Alpha, Graham-Harvey-1 (GH-1), and...

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Bibliographic Details
Main Author: Yuksel, Hasan Zafer
Format: Others
Published: CSUSB ScholarWorks 2006
Subjects:
Investment analysis
Mutual funds Mathematical models
Speculation Mathematical models
Speculation Mathematical models.
Finance and Financial Management
Online Access:https://scholarworks.lib.csusb.edu/etd-project/3086
https://scholarworks.lib.csusb.edu/cgi/viewcontent.cgi?article=4122&context=etd-project
Description
Summary:The thesis analyzed the performance of 5,987 mutual funds using a database called Steele Mutual Fund Experts and compared the predicting ability of various measures of performance. The measures discussed in the thesis are Treynor Ratio, Sharpe Ratio, Jensen's Alpha, Graham-Harvey-1 (GH-1), and Graham-Harvey-2 (GH-2). The performance measures are mostly used by professional money managers and scholars for literary purposes.

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