Treynor Index Research Articles

A STUDY ON PERFORMANCE EVALUATION OF 5 EQUITY GROWTH MUTUAL FUND SCHEMES IN INDIA

A mutual fund, which is another name for an investing business, is a type of financial instrument that pools the capital of multiple participants and uses it to purchase money market instruments and government securities. To put it simply, the management of the fund uses the funds raised to buy bonds and equities. The purchase of securities is known as the portfolio of the fund. Additionally, the investors split the revenue from this joint investment after subtracting any necessary taxes and levies. NAV is used to compute these costs and levies (Net Asset Value). The purpose of this study is to examine the performance of a five selective Indian mutual fund schemes during a three-year period from 2020 to 2023 using their daily Net Asset Value (NAV). The selected mutual considered for the study are private sector equity growth mutual fund schemes. The funds' performance is evaluated using the Sharpe index, Treynor index, and Jensen alpha, and the results will help investors make smarter investing decisions. The study aims to study the best performer among these 5 mutual funds i.e., HDFC, ICICI, AXIS, KVB and KOTAK MAHINDRA based on the study period. NAV = Value of Securities – Liabilities / No. of units outstanding shares) Keywords: Equity Growth Mutual Fund, performance, risk and return, banks in the private sector, Jenson's, Treynor's, and Sharpe's ratios.

Emerging market analysis of passive and active investing under bear and bull market conditions

PurposeStirred by scant regard for market phases in portfolio performance assessments, the current paper investigates the active versus passive investment strategies under the bull and bear market conditions in emerging markets focusing on South Africa as a case study.Design/methodology/approachMethodologically, the measures of Jensen's alpha and Treynor index are applied to the monthly returns of 20 funds from January 2010 to June 2022.FindingsThe results are enlightening; though they contradict developed market evidence, they are consistent with emerging market trends. The findings show that actively managed funds outperform the market benchmark and passive investing style under bear and normal market conditions. Passive investment strategy outperforms both market benchmark and actively investing style under bull market conditions.Practical implicationsIn the face of improved market efficiency, increased liquidity and recent technological impact, the findings of this study have practical application. The study outcomes should inform and update global investors, especially asset managers interested in emerging markets; however, the limitations of the study should also be considered.Originality/valueWhile limited studies consider market conditions when comparing and contrasting the performance of passive versus active investing, such consideration is lacking in emerging markets. The current study corrects this literature imbalance.

COMPARATIVE ANALYSIS OF SHARIA AND CONVENTIONAL STOCKS PORTFOLIO PERFORMANCE USING SHARPE, TREYNOR AND JANSEN METHODS

The Sharia capital market emerged as an alternative vehicle for the investor community to invest in the financial world in accordance with Sharia principles. As an alternative investment vehicle, the Sharia capital market is of course also targeted by investors who care about Sharia in addition to the general objective as a vehicle used to a profitable investing. Based on this basic framework, this research was conducted with the aim of analyzing and comparing stock performance in the form of stock portfolios between Sharia-based and conventional one. The JII70 stock index was used as an object for the Sharia stock portfolio, while the conventional stock portfolio was represented by the LQ45 index. The performance assessment used on these two portfolios was a portfolio performance assessment using the Sharpe, Treynor, and Jensen methods during the Covid-19 pandemic. The performance of these stock portfolios according to the three methods showed positive results. The performance of the JII70 stock portfolio was lower than the LQ45 index although it is insignificant. Meanwhile, according to the Treynor index, the performance of the JII70 was better than the LQ45 although it is insignificant.

Peranan Emas Dan Crypto Hedge Fund Dalam Meningkatkan Kinerja Indeks Portofolio Indeks Saham LQ45, JII, High Dividend, Dan Sri-Kehati

This research was conducted to determine the role of gold and crypto hedge funds in improving the performance of stock index portfolios. The stock index portfolio used consists of the LQ45, JII, High Dividend, and SRI-KEHATI indices. The purpose of this study is to analyze the role of gold and crypto hedge funds in improving the performance of stock index portfolios for the 2019-2021 period rather than investing in portfolios made up of stock indexes only. This study uses the Naive method and measures portfolio performance based on the Sharpe Index, Treynor Index, Jensen Index, Sortino Ratio, and Omega Ratio. This study concludes that the formation of a portfolio with the role of gold and crypto hedge funds can improve the performance of stock indexes using the calculation results of the Naive Diversification model in the period January 1 2019 to December 30 2021. In general it is found that portfolios formed with gold and crypto hedge funds as value better hedged than a portfolio formed without a hedge

Is the Markowitz Model Still Effective in Forming an Optimal Stock Portfolio? Empirical Evidence from the IDX ESG Leaders Index

The current portfolio calculation was basically developed by Markowitz (1952) who gave rise to the Modern Portfolio Theory. However, along with the development of science, other models emerged in portfolio calculation. This study tried to provide a flashback to whether the Markowitz portfolio model is still effective in forming an optimal portfolio compared to other portfolio calculation models. This study used descriptive research with a quantitative approach. This study used secondary data in the form of daily stock prices of companies, including the IDX ESG Leaders Index on the Indonesia Stock Exchange for the period of December 2020 to March 2022. The results showed that 11 stocks out of 25 stock samples were included in the optimal portfolio in both the Markowitz model and the Single Index Model but with different stock compositions. In terms of portfolio performance, the Markowitz model is still superior to the Single Index Model. This can be seen from the calculation results of the three indexes used, including the Sharpe Index, Treynor Index, and Jensen Index. This study provided an important contribution that the Markowitz model portfolio formation can be used and has proven to perform well in the formation of a stock portfolio.

Performance Evaluation of Mutual Funds Using Risk Return Relationship Models - An Empirical Study

Purpose: The main purpose of this study is to analyse the performance of mutual funds using Risk- Return Relationship Models. Theoretical framework: One of India's most important financial intermediaries, mutual funds can provide a wide range of financial services to small and large investors. They are also involved in the country's transformation, and their market participation has become more important. Evaluating a mutual fund's performance concerns investors, researchers, and fund managers. It should be conducted in a way that helps investors make informed decisions and maximize returns. A regular evaluation of a fund's performance is also essential for investors. Design/methodology/approach: The performance of 12 growth-oriented mutual funds has been evaluated using three Risk Adjusted performance measures, namely the Treynor index, Sharpe index, and Jensen measure. Treynor Index, developed by Treynor and Mazuy (1966), defined the measure as the ratio of returns to systematic Risk (Beta). The higher the ratio better the performance. Sharpe Index, developed by Sharpe (1964) defined as the ratio of returns to the variability of returns. Jensen's measure (Jensen 1968) regresses excess fund return with the excess market return. Monthly data was used during the period from Jan 2015 to Dec 2019. Further monthly returns of 12 diversified Equity mutual funds were compared with the returns of the B.S.E.( Bombay Stock Exchange) national index during the same period. Findings: It is identified from the results that the mutual funds have not performed better than their benchmark indicators except the ICICI Multi-asset fund and HDFC mid-cap opportunity fund in terms of a non-risk adjusted measure of the average returns as well as in terms of Risk-adjusted performance measures. Research, Practical & Social implications: Fund houses, Fund managers, researchers, and mutual fund investors can benefit more from a strong risk management foundation. It can help them make informed decisions and maximize their returns. Originality/value: This study differs from past studies because it examined the risk-adjusted performance of a few mutual funds, which ultimately may use by investors and policymakers to enhance the returns in these funds.

A Comparative Evaluation of Selected Indian Mutual Funds from the Public and Private Sectors

This study aims to compare and analyse the performance of a ten selected equity schemes in order to grade these funds according to their effectiveness. There are varying levels of risks and returns associated with each of these investing options. While choosing between public and private mutual funds, small investors are often uncertain. To justify the objectives of this research ten equity mutual fund schemes were selected as a sample for this study, for a period of 5 years from financial year 2018 to 2023. T-Test for the difference in the mean is used to compare mean and return of public sector and private sector mutual funds. In comparison researcher observed that most of the selected schemes from both Public Sector and Private Sector Mutual Funds have performed significantly better, primarily due to improved fund allocation, better management, and effective portfolio manager performance. Jensen’s Alpha, Sharpe and Treynor index model have been used to analyse the performance.

OPTIMALISASI RETURN SKEMA INTRADAY TRADING SAHAM SYARIAH INDONESIA MELALUI PEMILIHAN HARI DAGANG

Traders on the stock exchange under any circumstances try to minimize risk and maximize returns, including when the stock market is affected by Covid-19. At that time the Indonesian stock market experienced an extreme decline in stock prices in general. It happened gradually until it formed a downtrend over a fairly long period. Investors and active traders bear the loss of this condition. Wait and see until the downtrend ends is not always a solution. This study provides input for traders by observing in more detail the fluctuations that occur in the daily period which is referred to as the intraday scheme. Assuming whether there are certain days with a more positive tendency for returns than other days. The research was conducted using quantitative methods with a non-experimental approach with descriptive statistical data processing techniques. The results of observations on the 2017-2022 Indonesian Sharia Stock Index (ISSI) data show that Friday is the day that has the most tendency for prices to rise, the biggest returns, and the highest performance index (based on the Sharpe and Treynor Index) than other days. Keywords: return, Covid-19, intraday trading

The influence of SIFs managers’ characteristics on fund performance: an empirical study in China

ABSTRACT This paper adopts principal component analysis to assign weights to three fund performances obtained independently by the Sharpe index, Jensen index, and Treynor index. Therefore, a comprehensive model for the performance of Chinese securities investment funds (SIFs) is derived by combining these three indexes. The empirical study shows that the regression between SIFs managers’ characteristics and fund performance is better when using this comprehensive measurement model. Moreover, SIFs managers’ experience and tenure have negative and positive effects on fund performance, respectively. However, their gender, education level, professional qualification holdings, research experience, and abroad experience, do not significantly influence the fund performance.

Impact of the Russian-Ukrainian Conflict on Chinese Textile and Garment Enterprises: Stock Selection and Timing Judgment under Treynor & Mazuy and Henriksson & Merton Evaluation methods

This paper studies the impact of the outbreak of the Russian-Ukrainian conflict on Chinese textile and garment enterprises. This paper mainly uses Jensen model, Treynor & Mazuy evaluation method and Henriksson & Merton evaluation method to judge the Stock selection and timing capabilities of investment target, supplemented by Sharpe ratio, Treynor index and other indicators. The stock price data is collected from Investing.com and calculated into the indicators above by the author. The performance of the stocks during the period is evaluated through the indicators and the evaluation methods. The conclusion includes the result of the evaluation and the discussion about reliability of the methods in different factors. It shows that most companies in this industry were negatively affected by the conflict, while a small number of companies that were not negatively affected showed positive development. And found the advantages of Treynor & Mazuy evaluation method and Henriksson & Merton evaluation method in stock selection and timing judgment respectively. The conclusion improves the recognition of the Russian-Ukrainian conflict in another aspect and explain the advantages of the two methods in specific conditions.

KOMPARASI REKSADANA SAHAM KONVENSIONAL DENGAN REKSADANA SAHAM SYARIAH

This study aims to determine whether there is a difference between the performance of Islamic mutual funds and conventional mutual funds in bullish and bearish market trends. The analytical method used is the mean difference test uses the independent sample t-test method, through the SPSS program by comparing the Jensen and Treynor indices. The samples of this study were 15 conventional mutual funds and 15 sharia mutual funds based on the highest achieved NAV. in each period 2017 as a bullish trend period and the 2020 period as a bearish trend period.
 Based on the Jensen index by Independent sample t-test in 2017 (bullish trend), there is a significant difference between the performance of conventional stock mutual funds and the performance of Islamic stock mutual funds and the performance of conventional stock mutual funds is better than Sharia, while in the 2020 (Bearish trend) there is no differene between performance of conventional equity mutual funds and performance of Islamic equity mutual funds. Based on the Treynor index by independent sample t-test in both bullish and bearish periods, there is no difference between the performance of conventional equity funds and the performance of Islamic equity funds

PERFORMANCE EVALUATION OF BANK EQUITY UMBRELLA FUNDS IN TURKEY

The most important objectives in portfolio management are to have the highest average return at a certain level of risk and to eliminate the unsystematic risk through diversification. Measuring the performance of their portfolios has an important place in investment decisions for investors who want maximum return for a certain risk. In order to measure portfolio performance, there are three basic methods; Sharpe Ratio, Treynor Ratio and Jensen’s Alpha performance indices. In this study, the performance of 30 equity umbrella funds of banks between May 2015 and April 2020 was evaluated. According to the results, the performances of the three indices are listed in descending order. When the funds with the highest returns in three performance indices are analyzed, Yapı Kredi Asset Management Foreign Technology Sector Equity Fund in both Sharpe index and Treynor Index, and Yapı Kredi Asset Management BIST Dividend 25 Index Equity Fund in Jensen index are the funds with the highest performance. In addition, when the rank correlation coefficients calculated to reveal the relationships between the indices were examined, it was seen that the correlation levels were high

Performance of Conventional and Sharia Mutual Funds Using Sharpe, Treynor and Jensens Methods

Mutual funds is an instrument investment which is the best recommendation for beginner investor or an alternative investment that more safe and eficient. Investing growth give an opportunity to economic growth and to agregat growth of a country macro economic. That things were positive impacted to many factors for harmony and prospery. Research purpose - Indonesia is a country with the majorities moeslims citizen, to know how money market conventional and sharia mutual funds performances that can become a scient or subject to inform the investors of optional instrument investment it is does not depends to any religion. Using the portofolio method performance there are Sharpe Index, Treynor Index, and Jensen Alpha. And the variables using net asset value of money market mutual funds, risk free BI-7DRR, JKSE, and JII periode time 2017-2021. This research can show that mutual funds is a sustainable investment caused both of risk and return are the same. Research result In 2020 pandemic covid-19 hitten Indonesia and streamed untill 2022 but in the fact investment popularity doing hightly, a lot of campaign and promoting influencer to pull on teenegers become a new investor. Money market mutual fund is a suitable recommendation for investor beginner according with increased of under asset management value of money market mutual funds during pandemic. On the practice there are more options of mutual funds with two principle are conventional and sharia mutual funds.

Analysis Of Idx 30 Stock Portfolio Performance During Covid 19 Pandemic

Investors need to do proper analysis before making a decision in investing. If the investor does not do the right analysis, the investor will experience significant losses. One of the analyzes used is CAPM, and for the next step the researcher evaluates the performance of the stock portfolio. This study aims to analyze the performance evaluation of stock portfolios during the covid 19 pandemic. The research objects were companies registered in IDX 30 during the period January 2020 to July 2022. The result of this study is the Treynor index is the most indicative of conformity without differences between the three measures, as Treynor. Its value is similar to Sharpe and the Jensen index has the smallest difference.

Analisis perbandingan evaluasi knerja portofolio saham sebelum dan di masa pandemi COVID-19 di IDX 30

Economic conditions during the Covid-19 pandemic caused portfolio changes when the stock market experienced volatility in March 2020. This impact had an impact on the weak performance of the IDX30 so that many investors experienced panic selling at that time. This is due to the lack of investor knowledge about the formation of stock portfolios, one of which is by using CAPM. This study aims to analyze the formation of a stock portfolio measured using CAPM and analyze the presence / absence of differences in the evaluation of stock portfolio performance as measured using the Sharpe index, Treynor index and Jensen index. These results show the H0 hypothesis is accepted which means that there is no significant difference between testing with the Sharpe, Treynor, and Jensen methods both before and during the Covid 19 pandemic. The test results between treatments both before the Covid-19 pandemic showed that the third difference in the average ranking of the Treynor index, while during the covid-19 pandemic it was the Jensen Index which showed the greatest consistency with the uncertainty between the three measurements.

FORMATION OF OPTIMAL STOCK PORTFOLIO USING THE SINGLE INDEX MODEL IN THE COVID-19 PANDEMIC

This study examines and analyzes how the impact of Covid-19 on the formation of an optimal portfolio using the Single Index Model and measuring optimal portfolio performance using the Sharpe index, Treynor index and Jensen index. The sample data in this study uses stocks listed on the Indonesia Stock Exchange, especially those listed on the LQ45 Index, MNC36 Index, IDX30 Index and Bisnis27 Index from March 1, 2020 to May 31, 2022. The purpose of this study is to analyze the optimal portfolio composition, analyze portfolio returns and risks. optimally, as well as analyzing the performance of stock portfolios formed during the Covid-19 pandemic. The results of the study show that the optimal portfolio formed in the LQ45 index is 20 stocks, the MNC36 index is 12, the IDX30 index is 11 shares, the Bisnis27 index is 14 shares. The optimal portfolios that are formed all produce an expected portfolio return that is greater than the level of risk, and the expected return of the portfolio is higher than the markets expected return and also higher than the risk-free return. The results of the analysis of portfolio performance calculations for each LQ45 Index, MNC36 Index, IDX30 Index and Bisnis27 Index show that the most optimal stock portfolio performance during the Covid-19 pandemic is the portfolio formed from LQ45 index shares, this index means that it is good and deserves to be investment options for investors. Evaluation of the optimal portfolio formed results in realized returns greater than expected returns and also greater than risk-free returns. This study shows that the formation of an optimal portfolio using the Single Index Model provides positive results during the Covid-19 era. KEYWORDS: single index model, portfolio formation, optimal portfolio, portfolio evaluation, Covid-19

The Application of Islamic Legal Maxim of Blocking Evils is Precedenced than Taking Benefits in Cryptocurrency Market: Evidence from Treynor and Jensen Method

This practical analysis and investigated research of the performing cryptocurrency investment during the January 2019-September 2021 period. This study is evaluating five cryptocurrencies within global Cryptocurencies market. Treynor and Jensen Index are utilized to measure each cryptocurrencies operation in the crypto currencies market. Moreover, the analysis of Islamic Legal maxim of blocking evils is precedenced than taking benefits in Cryptocurrency Market is applied. The Treynor and Jensen Index analysis approach is used to evaluate performance among the five cryptocurrencies, namely; Bitcoin (BTC), Ethereum (ETH), Binance Coin (BNB), Tether (USDT) and Cardano (ADA . The results of Treynor index indicate cryptocurrencies, namely; Tether (USDT), Ethereum (ETH), Cardano (ADA) assets carried the has a positive value means the performance of cryptocurrency is good as compare other Cryptocurrencies. However, the results of Jensen index show the four crypto assets, namely; Bitcoin (BTC), Ethereum (ETH), Tether (USDT), Cardano (ADA) have a negative Jensen value, these indicates the cryptocurrencies have low returns. The finding of the result from the analysis of the of Islamic Legal maxim of preventing evils is better than attracting benefits suggest to avoid cryptocurrency investment is priority rather than taking benefit from cryptocurrency investment

Dynamic portfolio formulation using bitcoin and LQ45 stocks

This research aims to evaluate whether dynamic portfolios consisting of bitcoin and LQ45 stocks outperform portfolios composed solely of LQ45 stocks, especially during the Covid-19 pandemic. Accordingly, we use the time-series data of eight stocks and bitcoin from January 1, 2020, to December 31, 2020. We then run the DCC-GARCH method to analyze better the dynamic correlation between assets and the abnormalities of stock return distributions. The findings demonstrate that bitcoin is negatively correlated with LQ45 stocks, and hence, it can be used to hedge against stock assets. Further, we measure the portfolio performance of bitcoin-hedged and unhedged stock portfolios using the Jensen Index, Treynor Index, Sharpe Index, Sortino Ratio, and Omega Ratio. These measures consistently indicate that bitcoin-hedged stocks outperform unhedged stocks. In sum, our study concludes that incorporating bitcoin into portfolio formation improves portfolio performance.

Evaluation of Optimal Stock Portfolio Performance by Grouping Issuers Based on Stock Price Movements

Stock investment has a high risk, one of which is caused by changes in stock prices that occur in trading on the stock exchange every day, thus affecting the level of stock returns which also changes. Investors will face uncertainty in making choices and evaluating stock performance in the future because the returns obtained are uncertain and depend on the risks that affect it. Risk in investing can be reduced by investing in various types of stocks by forming an optimal stock portfolio. These problems are solved in this study by taking a calculation approach in selecting stocks and determining the optimal portfolio with the advantage of a single index model that can explain the relationship between the returns of each stock and the market index returns to calculate the variance of a stock. portfolio. There are 4 stocks with the largest excess return to beta, namely MEGA, JECC, UNIC, and KICI stocks. Performance measurement in this study was carried out using the Treynor Index, because this index used systematic risk as measured by Beta. Keywords: Single Index Model, Treynor, Dynamic Time Wraping.

Performance of Mutual Funds Amidst COVID 19 - A Study on Selected Equity Diversified Categories in India

The increasing assets under management (AUM) and the number of funds and schemes over the years have shown an exemplary performance of the mutual fund industry. It has gained popularity among investors for parking their surplus funds much safer than the stock market. This research paper investigated the performance evaluation of large, mid, small, and multi-cap categories from equity diversified funds using statistical parameters like standard deviation, beta, Sharpe ratio, Treynor's index, and Jensen's measure for risk-return analysis. The correlation analysis for the time series along with Nifty 100 TRI as the benchmark was analyzed. The pandemic effect was studied using a multiple regression model, and the results were tested with residual diagnostics. A total of 93 open-ended schemes were selected from the four categories and studied for a period of 4 years from April 2017 – March 2021 with the outbreak of the COVID - 19 in December 2019. The study analyzed the pre and post-pandemic effect on the performance using a dummy variable. The results showed average performance in the case of large, mid, and multi-cap funds, but small-cap funds outperformed the benchmark. The dummy coefficient showing the pandemic effect was positive and statistically significant for the fund categories selected for the study. The pandemic effect did not find average negative performance for the period, and the model was found to be the best fit through the robustness check. However, the fund categories, on the whole, showed a high correlation and were in tandem with the market.