Appraisal Ratio Research Articles

Generalized Stochastic Arbitrage Opportunities

Concepts are introduced and applied for analyzing and selecting arbitrage portfolios in the face of uncertainty about initial positions and risk preferences. A stochastic arbitrage opportunity is defined as a zero-cost investment portfolio that enhances every feasible host portfolio for all admissible utility functions. The alternative to the existence of such investment opportunities is the existence of a solution to a dual system of asset pricing restrictions based on a class of stochastic discount factors. Feasible approaches to numerical optimization and statistical inference are discussed. Empirical results suggest that equity factor investing is appealing for all risk-averse stock investors with a wide range of initial position and sufficiently low transactions costs by mixing multiple factor portfolios with high after-cost appraisal ratios, low mutual correlation, and negative exposures to the relevant host portfolios. These findings weaken the case for risk-based explanations for the profitability of factor investing. This paper was accepted by Kay Giesecke, finance. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2023.4892 .

Likuiditas, Leverage, Profitabilitas, Penilaian Pasar, Firm Size dan Return Saham

The research aims to obtain empirical evidence of the effect of financial ratios and firm size on stock returns. The research was conducted on consumer goods sector companies listed on the Indonesia Stock Exchange for the 2018-2020 period. Determination of the sample using nonprobability sampling with purposive sampling. The samples used were 24 companies. The total observation data for the 2018-2020 period is 72 observational data. Methods of data collection using non-participant observation. The analysis technique uses multiple linear regression analysis. Based on the results of the study, it shows that the liquidity ratio has a negative and significant effect, the leverage ratio has a negative and significant effect, the profitability ratio has a negative but not significant effect, the market appraisal ratio has a negative and significant effect, and firm size has a negative but not significant effect on stock returnsKeywords : Stock Seturns, Liquidity, Leverage, Profitability, Market Valuation

Islamic & Conventional Mutual Funds Performance by Return and Risk Adjusted Performance

This study compares the performance of Islamic and conventional mutual funds from 2017 to 2021 with the aim of analyzing the differences. This study makes use of secondary data from the Otoritas Jasa Keuangan (OJK) for 5 years that were downloaded from the OJK's official website (OJK). Purposive sampling is used in this study sampling method. The Mann-Whitney U Test is the analysis technique employed. According to the study's findings, there are no appreciable differences between mutual fund risk and market risk for Islamic mutual funds in terms of beta, return, and Sharpe. While there are variances between the Treynor, Jensen Alpha, M2 Measurement, and Appraisal Ratio techniques.

PERFORMANCE ANALYSIS OF MONEY MARKET MUTUAL FUNDS, FIXED INCOME MUTUAL FUNDS, MIXED MUTUAL FUNDS, AND STOCK MUTUAL FUNDS IN INDONESIA DURING THE 2015-2020 PERIOD

Mutual funds as one of the investment instruments in Indonesia continue to grow and try to provide product choices with the maximum possible return. Investors need good mutual fund knowledge in order to be able to take the right steps according to the type of each investor in investing. This research aims to analyze the performance of money market mutual funds, fixed income mutual funds, mixed mutual funds, and stock mutual funds in Indonesia in the period 2015-2020. This performance measurement is done using Sharpe's Measure, Treynor's Measure, Jensen's Measure, and Appraisal Ratio. The results showed that it is not easy to maintain the best fixed mutual fund performance. While the worst performance for each year has similarities in certain mutual fund products.
 Keywords: Performance, Money Market Mutual Funds, Fixed Income Mutual Funds, Mixed Mutual Funds, Stock Mutual Funds, Sharpe, Treynor, Jensen, Appraisal Ratio.

Comparison of dyad versus individual simulation-based training on stress, anxiety, cognitive load, and performance: a randomized controlled trial

BackgroundDyad learning has been shown to be an effective tool for teaching procedural skills, but little is known about how dyad learning may impact the stress, anxiety, and cognitive load that a student experiences when learning in this manner. In this pilot study, we investigate the relationship between dyad training on stress, anxiety, cognitive load, and performance in a simulated bradycardia scenario.MethodsForty-one fourth-year medical school trainees were randomized as dyads (n = 24) or individuals (n = 17) for an education session on day 1. Reassessment occurred on day 4 and was completed as individuals for all trainees. Primary outcomes were cognitive load (Paas scale), stress (Cognitive Appraisal Ratio), and anxiety levels (abbreviated State-Trait Anxiety Inventory). Secondary outcomes were time-based performance metrics.ResultsOn day 1 we observed significant differences for change in anxiety and stress measured before and after the training scenario between groups. Individuals compared to dyads had larger mean increases in anxiety, (19.6 versus 7.6 on 80-point scale, p = 0.02) and stress ratio (1.8 versus 0.9, p = 0.045). On the day 4 post-intervention assessment, no significant differences were observed between groups. Secondary outcomes were significant for shorter time to diagnosis of bradycardia (p = 0.01) and time to initiation of pacing (p = 0.04) in the dyad group on day 1. On day 4, only time to recognizing the indication for pacing was significantly shorter for individual training (hazard ratio [HR] = 2.26, p = 0.02).ConclusionsDyad training results in lower stress and anxiety levels with similar performance compared to individual training.

Comparison of Stock Performance Based on Ethical Investment: Evidance on JII and SRI-KEHATI Indices

This research aims to analyze and compare the performance of the Islamic stock portfolio represented by the JII index and ethical investment represented by the SRI-KE-HATI index by measuring the Risk Adjustment Return Index through the Sharpe index, Treynor index, and Jensen Index differential return and appraisal ratio. The data analysis of this research consists of five parts, namely descriptive analysis, analysis of stock performance, with three methods, namely Sharpe, Treynor, and Jensen.differential return and appraisal ratio and Multiple Comparison Test. Based on the comparison of the performance of JII and SRI-KEHATI stocks in 2014-2019, it can be concluded that the overall method of Sharpe, Treynor and differential return shows a negative performance value, which means that the performance is not good, whereas when measured using the Jensen method and Appraisal Return shows positive performance value, which means good performance. When compared between the performance of JII and SRI-KEHATI shares, there is a difference between the performance of the JII and SRI-KEHATI Indices during the study period

Mining enterprises innovativeness from the point of view of human capital significance

Research relevance. Today, the main prerequisite for the improvement of mining enterprises performance and competitiveness is their transition to innovation-based development. The enterprises are directed towards the novelties, innovations, and changes, which largely depend on human activity revitalization. As a result, human capital becomes more valuable than metal, oil, etc. Human capital becomes exactly the value that determines the economic development. Innovation-based development of a mining enterprise is the influence exerted by the managing entity on the managed enterprise with the purpose of transferring it to the required state. The effectiveness of mining enterprise innovative development management requires appraising the level of innovativeness and taking necessary remedial actions in order to achieve the goals. Research aim is to develop the methodological apparatus of estimating the innovativeness of a mining enterprise based on the development of human capital. Results. In the course of the research the need to switch to the innovation-based development has been justified, the special role in its realization is played by the effective use of the innovative potential. In its turn, human capital is the fundamental component of the innovative potential; human capital development conditions the enterprise’s assignment to an innovative type. Methodological apparatus of estimating the innovativeness has been worked out, which provides for the estimation of the innovative character of technical and process transformations, innovative product and innovative human capital. End appraisal ratio is an integral indicator formed based on four indices with the account of the weighting factors. It is recommended to establish the threshold values of the integral indicator which will make it possible to differentiate mining enterprises according to the level of innovative development. In order to estimate the human capital, the author’s recommendations published later should be referred to. Summary. The use of the methodological apparatus of estimating innovative mining enterprises will make it possible to increase the effectiveness of managing the process of switching to the innovation-based development. Control over the variation of innovativeness level makes it possible to take necessary remedial actions and achieve the desired condition.

PENGUKURAN KINERJA REKSA DANA PADA REKSA DANA SYARIAH DAN REKSA DANA KONVENSIONAL DI INDONESIA PERIODE 2008 – 2018

This research measured and compared the performance between Islamic mutual funds and conventional mutual funds using Sharpe Ratio, Treynor Index, Jensen Alpha, Modigliani Measure, Appraisal Ratio, and Adjusted Sharpe Ratio. This research used quantitative approach with panel data that was measured by using different test and it aimed to find out the comparation of the samples. This research used Net Asset Value (NAV), Joint Stock Price Index, BI Rate to find out return and risk that will be implemented on the measured methods. The results of the research based on T-test are that there is no significant difference of performance between Islamic mutual funds and conventional mutual funds, except the Appraisal Ratio method that shows the difference on Islamic mutual funds that has a better performance.Keywords: Sharpe Ratio, Treynor Index, Jensen Alpha, Modigliani Measure, Appraisal Ratio, Adjusted Sharpe Ratio

Impact of one-person households on detached housing sales prices

ABSTRACTA considerable number of single-person households in Korea belong to the vulnerable social group, and as of 2015, more than 50% of them are showing a characteristic of being concentrated in a dilapidated detached dwelling which was subdivided into a small unit; in this context, the movements of the detached house market, and its development potential are directly connected to the residential stability problem of a single-person household. The purpose of this study is to diagnose the residential problem of a single-person household trough the empirical analysis of the relationship between detached housings sales prices in housing sales market and one-person households. After analysing the detached housing sales data in Seoul, it was verified that the SPAR (Sales Price Appraisal Ratio) of the area heavily resided by one-person households was statistically significantly high compared to other areas. In order to verify whether this positive correlation is established in case of total age groups of one-person households, or even in case of a transactions motive for reconstruction, the multiple regression analysis by using the hedonic model was implemented. As a result, the positive (+) relationship exists in the areas heavily resided by young one-person households, and there is a concern of relatively increased future residential cost burden of the young generation. Also, in case when the transactions are intended for reconstruction purposes, there was a negative (–) impact by the one-person households on the sales prices. From developers’ point of view, it seems that the concentration of one-person households can lower the possibility of repayment of loans borrowed for the reconstruction, the possibility of housing sales, and the rent profit. Therefore, it is difficult to expect the improvement in deteriorated areas heavily populated by one-person households to function as a market; hereupon, the government’s aggressive intervention seems to be inevitable.

Team planning discussion and clinical performance: a prospective, randomised, controlled simulation trial.

Planning held before emergency management of a critical situation might be an invaluable asset for optimising team preparation. The purpose of this study was to investigate whether a brief planning discussion improved team performance in a simulated critical care situation. Forty-four pairs of trainees in anaesthesia and intensive care were randomly allocated to either an intervention or control group before participating in a standardised simulated scenario. Twelve different scenarios were utilised. Groups were stratified by postgraduate year and simulated scenario, and a facilitator was embedded in the scenario. In the intervention group, the pairs had an oral briefing followed by a 4-min planning discussion before starting the simulation. The primary end-point was clinical performance, as rated by two independent blinded assessors on a score of 0-100 using video records and pre-established scenario-specific checklists. Crisis resource management and stress response (cognitive appraisal ratio) were also assessed. Two pairs were excluded for technical reasons. Clinical performance scores were higher in the intervention group; mean (SD) 51 (9) points vs. 46 (9) in the control group, p=0.039. The planning discussion was also associated with higher crisis resource management scores and lower cognitive appraisal ratios, reflecting a positive response. A 4-min planning discussion before a simulated critical care situation improved clinical team performance and cognitive appraisal ratios. Team planning should be integrated into medical education and clinical practice.

On the Realized Performance of Market Timing Strategies

The Information Ratio IR is the conventional metric to gauge the ex post risk-adjusted performance of a market timing strategy. A deficiency of this metric is that it does not account for an average “long bias”, which can confound the timing ability of the evaluated strategy. In this paper, we evaluate two alternative metrics, the Appraisal Ratio and the “Timing IR”, which intent to purge the IR from a non-zero average or systematic exposure to the underlying market. We compare both alternative metrics to the IR, both analytically and in an empirical setting where we evaluate a short-term reversal strategy on the US equity market over the period 1998-2018. We conclude that the Appraisal Ratio is the preferred metric.

Appraisal Ratio and the Mutual Fund's Stock Picking Skill

According to the costly arbitrage theory, stocks with high idiosyncratic volatility deter arbitrageurs from trading against the temporal mispricing to gain profits. Hence, long equity holders, such as equity mutual funds, would not take on too much 'idiosyncratic risk' in their portfolios, unless they have strong beliefs that those assets are undervalued. In this study, we use the holding-based fund-level 'appraisal ratio', based on the Treynor and Black (1973) model, to infer the stock picking skill of actively managed mutual funds in the U.S. equity market. Overall, we find that the degree of a fund portfolio tilting towards stocks with higher 'appraisal ratio' helps to identify those funds with superior stock picking ability, which leads to better future performance. And the effect is stronger following periods with lower investor sentiment, indicating that this approach can identify those skilled fund managers who are active in terms of searching for undervalued stocks. Evidences from quarterly earnings announcements and analyst recommendations complement our conjecture that this measure is a good proxy for the stock picking ability of skilled fund managers in the U.S. active management industry.

Man vs. Machine: Comparing Discretionary andSystematic Hedge Fund Performance

In this article, the authors analyze and contrast the performance of discretionary and systematic hedge funds. Systematic funds use rules-based strategies, with little or no daily intervention by humans. In the authors’ experience, some large allocators shy away from systematic hedge funds altogether. One possible explanation is what the psychology literature calls “algorithm aversion.” However, the authors find no empirical basis for such an aversion. For the period 1996–2014, systematic and discretionary manager performance is similar, after adjusting for volatility and factor exposures (that is, in terms of their appraisal ratio). It is sometimes claimed that systematic funds have a greater exposure to well-known risk factors. However, the authors find that for discretionary funds (in aggregate), more of the average return and the volatility of returns can be explained by risk factors.

Practical Applications of On the Optimal Mix of Active and Passive Investments

Determining exactly the dollar amount to allocate to active investments in a client’s portfolio has long been a problem faced by financial advisors and portfolio managers. Stephen Buser, Professor Emeritus at The Ohio State University, has come up with a solution. He proposes a modified version of the Treynor and Black appraisal ratio to identify the exact dollar amount of a portfolio to be allocated to active investments. In an interview with Institutional Investor Journals, Buser discusses incorporating theta to develop the adjusted measure of the appraisal ratio and outlines how the modified ratio provides opportunities for financial advisors, metrics providers and institutional managers.

Rising to the challenge: acute stress appraisals and selection centre performance in applicants to postgraduate specialty training in anaesthesia.

The ability to work under pressure is a vital non-technical skill for doctors working in acute medical specialties. Individuals who evaluate potentially stressful situations as challenging rather than threatening may perform better under pressure and be more resilient to stress and burnout. Training programme recruitment processes provide an important opportunity to examine applicants' reactions to acute stress. In the context of multi-station selection centres for recruitment to anaesthesia training programmes, we investigated the factors influencing candidates' pre-station challenge/threat evaluations and the extent to which their evaluations predicted subsequent station performance. Candidates evaluated the perceived stress of upcoming stations using a measure of challenge/threat evaluation-the cognitive appraisal ratio (CAR)-and consented to release their demographic details and station scores. Using regression analyses we determined which candidate and station factors predicted variation in the CAR and whether, after accounting for these factors, the CAR predicted candidate performance in the station. The CAR was affected by the nature of the station and candidate gender, but not age, ethnicity, country of training or clinical experience. Candidates perceived stations involving work related tasks as more threatening. After controlling for candidates' demographic and professional profiles, the CAR significantly predicted station performance: 'challenge' evaluations were associated with better performance, though the effect was weak. Our selection centre model can help recruit prospective anaesthetists who are able to rise to the challenge of performing in stressful situations but results do not support the direct use of challenge/threat data for recruitment decisions.

On the Optimal Mix of Active and Passive Investments

A modified version of the appraisal ratio developed by Treynor and Black in 1973 identifies a unique mix of active and passive investments that is optimal for every investor, regardless of his or her preferences for risk and return. This result suggests that financial advisors can consider recommending specific dollar amounts for clients to allocate to active investment strategies, rather than simply recommending qualitative assessments regarding such opportunities. The article identifies corresponding implications for services that provide estimates of analytic measures that are used to evaluate active investments, as well as for institutions that manage active portfolios on behalf of individuals.

10.3846/1648715X.2014.973925

This paper investigates tax inequities in assessed values and how these inequities in tax assessments affect house price indices using assessed values statistics. Using the unique rating valuation data from the top 10 cities of New Zealand during the period 1994–2009, it finds that house price measurements using the Sale Price Appraisal Ratio (SPAR) method have performed well compared to the repeated sales method suggested by Case and Shiller (1989) and the assessed values (AV) method proposed by Clapp and Giaccotto (1992). The presence of systematic estimated errors (both vertical and horizontal inequities) in assessed values posts a concern for house price measurements using assessed values statistics. In this situation, both the SPAR and AVmethods benefit from the law of compensation of errors by using all transaction data. A policy implication is that the SPAR model is a good choice when using assessed values to measure house price movements at frequent time intervals, in particular for small countries.

ANALISIS MARKET PERFORMANCE DENGAN PENDEKATAN CAPM DAN APPRAISAL RATIO SERTA PENGARUHNYA TERHADAP VARIASI HARGA SAHAM SYARIAH

Abstract The success of Jakarta Islamic Index as an index that has the largest market capitalization that is visible from the aggregate value of shares JII significantly compared to the capitalization of all shares diperdagangkan.Namun active in a market, there are always investors who do not agree with the market consensus due to stock market performance is not always walk in the same direction with high market capitalization. For companies that go public stock prices is an indicator of the value perusahaan.Oleh Therefore, this study aimed to examine the determinants of stock prices in the Indonesian sharia (JII) over a period of four years from 2011 to 2014. The regression analysis of six independent variables associated with the use of data from shares of sharia (JII) listed on the Stock Exchange. Based on the analysis of CAPM, there are 5 stocks undervalued, and 8 shares were overvalued. Then based on the analysis appraisal ratio, the stock with the top three rankings are; SMGR, ASRI, and CPIN. Adjusted R-square value (0.833) indicates that the stock prices of sharia nearly 83% depending on the independent variables are EVA, EPS, DPS, ROE, PER, DER, Indonesian Interest Rate, Composite Index, and Inflation. Significance test showed that EPS and PER is an important determinant of stock prices sharia in Indonesia. On the other hand, the research also found that variables EVA, DER, DPS, ROE, Indonesian Interest Rate, and Inflation is not powerful explanatory variables to determine the price of shares of sharia in Indonesia

Quiet eye training promotes challenge appraisals and aids performance under elevated anxiety

Quiet eye training, a decision training intervention developed by Vickers and colleagues (see Vickers [Vickers, J.N. 2007. Perception, cognition and decision training: The quiet eye in action. Champaign: Human Kinetics] for a review), has been shown to facilitate anxiety-resistant performance in novice learners [Vine, S.J., & Wilson, M.R. 2010. Quiet eye training: Effects on learning and performance under pressure. Journal of Applied Sport Psychology, 22, 361–376; Vine, S.J., & Wilson, M.R. 2011. The influence of quiet eye training and pressure on attention and visuomotor control. Acta Psychologica, 136, 340–346]. However, the potential mechanisms underpinning this beneficial effect are not fully known. This study examined the effects of a quiet eye training intervention on golf putting performance (mean performance error), gaze control (quiet eye duration), and one possible psychological mechanism; cognitive appraisal (evaluation of perceived demands and resources). Thirty novice participants were randomly assigned to a quiet eye or technical trained group and completed 420 baseline, training, retention, and pressure putts. Gaze was measured using an ASL Mobile Eye Tracker. Cognitive anxiety and appraisal were assessed via the mental readiness form-3 [Krane, V. 1994. The mental readiness form as a measure of competitive state anxiety. The Sport Psychologist, 8, 189–202] and cognitive appraisal ratio [Tomaka, J., Blascovich, J., Kelsey, R.M., & Leitten, C.L. 1993. Subjective, physiological, and behavioural effects of threat and challenge appraisal. Journal of Personality and Social Psychology, 65, 248–260], respectively. Although both groups experienced greater cognitive anxiety (p < .001), the quiet eye trained group performed more accurately (p < .001), displayed more effective gaze control (p < .001), and appraised the pressure test more favourably than the technical trained group (p < .05). The more positive appraisal arose from the quiet eye trained group reporting a greater perception of coping resources than the technical trained group (p < .05). Mediation analyses revealed that cognitive appraisal mediated the relationship between training group and mean radial error during the pressure test. Thus, quiet eye training protects against performance failure under increased anxiety by amplifying perceived coping resources, permitting performers to appraise demanding competitive situations more adaptively, as a challenge rather than a threat.

Leverage and Alpha: The Case of Funds of Hedge Funds

In this paper, we develop a theoretical model of fund of hedge fund net leverage and alpha where the cost of borrowing is increasing with net leverage, thereby impacting the performance. We use this model to determine the conditions under which the leverage has a negative or a positive impact on investors' alpha. Moreover, we show that the manager of a fund of hedge fund has an incentive to take a leverage that hurts the investors' alpha. Next, we develop a statistical method combining the Sharpe style analysis and a time-varying coefficient model. This method allows the weights of the regression to vary over time while being constrained to sum up to one. Subsequently, we use this method to get estimates of the leverages of a sample of funds of hedge funds. The estimates of leverages are then used in predictive regression analyses to confirm the negative impact of leverage on fund of hedge fund alphas and appraisal ratios. Finally, our results being robust to various robustness checks, we argue that this effect may be an explanation for the disappointing alpha delivered by funds of hedge funds.