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Francois van Dyk, Gary van Vuuren, Andre Heymans
The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investment funds, but because it is based on mean-variance theory, it only considers the first two moments of a return distribution. It is, therefore, not suited f...
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Francois van Dyk, Gary van Vuuren, Andre Heymans
The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio only considers the first two mo...
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Francois van Dyk, Gary van Vuuren, Andre Heymans
The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio only considers the first two mo...
ver más
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Francois van Dyk,Gary van Vuuren,Paul Styger
AbstractThe residual variance method is the traditional method for measuring portfolio diversification relative to a market index. Problems arise, however, when the market index itself is not appropriately diversified. A diversification measurement (Port...
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