주가지수의 시간 가변적 샤프-최적 포트폴리오와 포트폴리오 성과 평가지표

Abstract

This paper asks three questions. Whether can KOSPI be mimicking a Markowitz efficient portfolio? How well can stock indexes function in the view of portfolio performance variables in case that a stock index has the number of comprising stocks in its name? What is the relation between portfolio performance variables and portfolio diversification variables? Sharpe ratio, Trenyor ratio, Jensen alpha, and Information ratio are considered as portfolio performance variables while Cumulative ratio, the Hershman-Herfindahl index, the Gini index, and the Hall-Tideman index are regarded as portfolio concentration variables. Static panel regression methodology is adopted. The ranks of stock indexes are different depending on daily, weekly, and monthly portfolio performance variables. There is little consistent relation between portfolio concentration variables and Sharpe ratio and Treynor ratio in any cases of daily data, weekly data, and monthly data. However, Jensen alpha and Information ratio show consistent relation with portfolio concentration variables. It is hard to understand little relation between Sharpe (Treynor) ratio and portfolio concentration variables because portfolio concentration relates with the composition of portfolio, leading to the performance of portfolio.