Results 161 to 170 of about 6,271 (197)

Hybrid Balanced Justified Treynor ratio

Managerial Finance, 2020
PurposeRisk and return are the most important components in the financial and investment world and the existence of a better balance between them with the goal of the best solution for investing in different assets has always been studied and discussed by researchers. For this purpose in this study introduced the Hybrid Balanced Justified Treynor ratio
Saeid Tajdini, Mohsen Mehrara, Reza Tehrani   +2 more
openaire   +1 more source

A Study on Stock Market Performance by using Sharpe and Treynor Ratio

Asian Journal of Management, 2023
The study deals with stock performance of Indian companies. To measure the stock market performance, the study applied Sharpe and Treynor ratio. The sample of BSE-100 stocks for the period of 10 years are used. The results show that Aurobindo Pharma (0.760373807) and Axis Bank (117.4119294) are the top ranked companies in terms of performance.
Azeeza Begum, Janet Jyothi Dsouza, Dinesh K   +2 more
openaire   +1 more source

Beta, the Treynor ratio, and long-run investment horizons

Applied Financial Economics, 2003
Beta and Treynor ratios are computed for portfolios of small stocks, large stocks, and bonds for holding periods of 1 to 30 years. For both the stock and bond portfolios, beta, and the Treynor ratio change substantially with the holding period. Furthermore, the relative Treynor rankings of the portfolios change.
Charles W. Hodges, Walton R. L. Taylor, James A. Yoder   +2 more
openaire   +1 more source

The Generalized Treynor Ratio

Review of Finance, 2005
Abstract This paper extends the Treynor performance ratio for a single index to the case of multiple indexes. The new measure, called the Generalized Treynor Ratio, preserves the same key geometric and analytical properties of the original Treynor Ratio.
openaire   +2 more sources

A strong case to calculate the Treynor ratio using log-returns

Journal of Asset Management, 2017
Both of the building blocks of the Treynor ratio (TR), the expected return and the portfolio beta, depend on the investment horizon. This raises a natural question: how to compare two portfolios using TR over different horizons? Previous studies show that there may be a ranking reversal. That is, one portfolio may look attractive at a short horizon but
Ziemowit Bednarek, Oleksandr Firsov, Pratish Patel   +2 more
openaire   +1 more source

The Generalized Treynor Ratio: A Note

SSRN Electronic Journal, 2003
This paper presents a generalization of the Treynor ratio in a multi-index setup. The solution proposed in this paper is the simplest measure that keeps Treynor's original interpretation of the ratio of abnormal excess return (Jensen's alpha) to systematic risk exposure (the beta) and preserves the same key geometric and analytical properties as the ...
openaire   +1 more source

Algorithm for construction of portfolio of stocks using Treynor’s ratio [PDF]

, 2012
The aim of the paper is to implement the algorithm for selecting stocks from a pool of stocks listed in a single market index like S&P CNX 500(say) and finding the corresponding weights of the stocks in the optimized portfolio using Treynor’s ratio, on the basis of historical data of Indian stock market when the short selling is not allowed.
Sinha, Pankaj, Goyal, Lavleen
openaire  

Informationless Trading and Biases in Performance Measurement: Inefficiency of the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio and DEA-Based Performance Measures and Related Measures

2018
The Sharpe Ratio, Conditional Sharpe Ratio, Conditional Treynor Ratio, Treynor Ratio, Jensen’s Alpha, Appraisal Ratio, Sortino and Van der Meer Ratio (1991), Sortino, Van der Meer and Plantinga (1999) Ratio, Information Ratio, DEA-based Methods and the Henriksson-Merton market timing measure are all based on the Mean–Variance (“M-V”) Framework and are ...
openaire   +1 more source

Sharpe Ratio and Treynor Index Performance Mesaurents Based A Genetic Algorithm Approach

2020
The investor always wants to create a portfolio that will benefit him with the highest benefit. This situation presents the portfolio problem that needs to be optimized. In the literature, quadratic programming method, which is one of the classical optimization methods, is used to solve the portfolio optimization problem.
openaire   +1 more source

Treynor Ratio guided risk-return model for TSO-DSO mutualism considering energy and price volatility

Sustainable Energy, Grids and Networks, 2022
Jisma M., Vivek Mohan, Mini Shaji Thomas, Siqi Bu   +3 more
openaire   +1 more source