Treynor Index Research Articles

Implications of dividend tax reforms on M-REITs performance

PurposeThe purpose of this paper is to examine the performance of 19 Malaysian Real Estate Investment Trusts (M-REITs) over the period 1999 to 2014, following the implementation of dividend tax reforms announced in the 2007, 2009 and 2012 budgets.Design/methodology/approachSharpe index, Treynor index and Jensen α are utilized to compare the performance of M-REITs against a newly developed tax-adjusted value-weighted M-REITs index, equity market, property sector and three month Malaysia Treasury Bills (T-Bills). The calculation of M-REITs returns has been adjusted to take into account the dividend tax reforms which have never been considered in previous studies.FindingsMost M-REITs outperform the tax-adjusted value-weighted REITs index, equity market, property sector and three month T-Bills. Property sector performs worst during those periods. Some of the M-REITs have a higher standard deviation than the equity market and the tax-adjusted value-weighted M-REITs index. Most M-REITs have a lower total risk than the property sector. Further analysis shows that before (after) the tax reforms, most M-REITs underperform (outperform) the other sectors. The introduction of the tax reforms benefits both REITs and investors. A significant positive Jensen α for some M-REITs indicates that fund managers are able to time the market or to select undervalued assets.Practical implicationsFindings of the study would enable investors to evaluate the performance of all REITs in comparison to other financial assets during the period of study for better investment decision making. A more accurate assessment on REITs performance that take into account the tax reforms, is available for investors and fund managers to decide on the investment mix to be included in their portfolio. Moreover, fund managers’ performance can be assessed whether they perform better or worse than the equity market, property sector and three month T-Bills.Originality/valueThis study contributes to the scant literature on dividend tax reforms and their implication toward REITs performance. It is the first study to thoroughly assess the returns of REITs by taking into account the changes on dividend tax rates announced in the 2007, 2009 and 2012 budgets.

Risk and Performance of Islamic Indexes During Subprime Crisis

We looked for evaluating and comparing the risk and performance of both Islamic and conventional indices during subprime crisis. We used daily closing stock indices data of the Dow Jones Index series and we evaluated the volatilities of Islamic indices over a period of eleven years. The results suggested that Islamic indexes family is not fully sheltered from the subprime crisis. Similar to the conventional indexes, all Islamic indexes recorded lower average returns and higher volatility in the crisis period compared to the pre-crisis as well as after crisis period. However, outcomes results from Sharpe ratio, Treynor index and Jensen’s alpha affirm that the impact of the crisis on ethical investment is as severe as it is on the conventional peers except four Islamic index that prove their resilience versus their counterparts during turbulent time and they continue their outperformance even during calmness period. Meanwhile, geographical factor is shown to be relevant diversification criteria particularly during the crisis period. In term of portfolio diversification benefits, investors should be aware of the market condition in strategizing their capital portfolio in the context of both the level of development and also depending on geographical area and ethics factors.

Modeli ocene performansi portfolija investicionih fondova - Šarpov, Trejnorov i Jensenov indeks

Portfolio performance evaluation is an integral part of a continuous portfolio management process aimed at improving its efficiency. The importance of being familiar with the evaluation models of mutual fund portfolio performance is reflected in the fact that such models inform individual and institutional investors about the success of portfolio management, as well as about the performance of individual mutual funds; moreover, the portfolio managers identify strengths and weaknesses of the created portfolios based on the mentioned models. In this respect, this paper looks at the methods that are most widely used, both in theory and in practice, to measure portfolio performance: Sharpe index, Treynor index and Jensen's alpha or index. Bearing in mind that none of these methods of portfolio performance measurement is perfect, the author focuses on identifying and understanding the disadvantages and limitations of these models. By identifying and understanding these disadvantages and limitations, their importance and effects are being reduced, while at the same time, the importance and accuracy of the results are being improved.

The Analysis of Risk Adjusted Return Portfolio Performance Share for LQ 45 Index in Indonesia Stock Exchange in 2010-2014 Periods

This reseach focuses on portfolio performance analysis of LQ45. The purpose of this research is to analyze the consistency of Sharpe index, Treynor index and Jensen index as measurement of risk-adjusted performance. This research uses Kruskal Wallish test to analyze the consistency of those indexes as measurement of risk-adjusted performance. Before that, standardized with Z-score transformation was conducted to test comparison between treatments. This result indicates that there is no significant difference between the tehcniques test. Furthermore, according to the three tools used, Treynor's shows the consistent result from performance measurement.

ANALISIS PORTOFOLIO INVESTASI PADA SAHAM SEKTOR PROPERTI YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX DENGAN PENDEKATAN SHARPE INDEX, TREYNOR INDEX, DAN JENSEN INDEX

<p>This study aimed to analyze the investment portfolio in the property sector stocks listed in JII using the Sharpe Index, Treynor Index and Jensen Index. Research carried out by using a different test is based on data about the performance of the portfolio during the period of 2010-2014. Based on the data processing obtained F value Calculate for the return of the portfolio in a row that the BSDE amounted to 23 904, CTRA amounted to 21,250, LPKR amounted to 44 981, and SMRA amounted to 38 729, then to see the F Calculate there, the conclusion that F count> F table is on BSDE 23 904> 3.885294, at CTRA 21,250> 3.885294, on LPKR amounted to 44 981> 3.885294, and the SMRA 38 729> 3.885294, and a significance level of <0.05 then the conclusion is not the differences significant return between BSDE, CTRA, LPKR, and SMRA approach Sharpe Index, Treynor Index and Jensen Index. While in terms of performance, there are differences in the performance of the portfolio using Sharpe Index, Treynor Index and Jensen Index.</p>

Performance Measurement of Investment Companies with Loss Aversion in Tehran Stock Exchange

This study measures the portfolio performance of listed investment companies in Tehran Stock Exchange (TSE) based on prospect theory. The criterion is measured by the ratio of gain to loss, to reflect risk-aversion in gains and risk-seeking in losses. The sample consists of 15 listed investment companies registered in TSE during 2003-2013. Research variables consist of portfolio return, market return, risk-free return, systematic risk, Treynor and Loss Aversion index. Hypotheses have been tested with Spearman correlation coefficient. The results show that Loss Aversion can be used as a new index for measuring portfolio performance.

지역별 아파트 투자성과에 관한 분석

본 연구의 목적은 위험을 반영하여 지역별 아파트 투자성과를 분석하고 지역별 특성의 존재유무를 검증하는 것이다. 분석을 위해 지역별 아파트 투자성과를 장단기로 나누어 분석하였다. 자료수집기간은 2002년부터 2012년의 10년간이며 대상지역은 서울의 강남 북과 6개 광역시이다. 성과평가를 위해 만기 5년의 국민주택1종 채권수익률을 무위험수익률로 사용하고 임대수익계산을 위해서는 만기1~2년 정기예금금리를 사용하였다. 분석결과, 장기투자성과 시에는 서울과 인천은 지역특성이 존재하지 않아 트레이너지표를 사용하여 평가하였으며 지방광역시는 지역특성이 존재하여 젠센지표로 평가하였다. 또 단기성과평가시에는 모든 지역에서 지역특성이 존재하는 것으로 나타나 젠센지표를 사용하여 평가하였다. 모든 지역에서 지역특성이 작용하는 단기 성과평가 결과는 단순수익률로 평가한 결과와 전혀 다른 것으로 나타났다. 따라서 단순 수익률로 성과평가를 할 경우에는 성과에 대한 인식을 왜곡할 수 있음이 드러났다. The purpose of this study is to analyze the apartment investment performance including the risk and to verify the presence or absence of regional characteristics. This study made an analysis on the apartment investment performance by dividing it into long and short-term basis. Data collection period is 10 years from 2002 to 2012 and target area includes Gangnam and Gangbuk (southern and northern area of Seoul) and 6 metropolitan cities. For evaluating the investment performance, this study used the earning rate of 5 year 1st class national housing bond as the risk-free rate of return and 1~2 year interest rate of fixed deposit for calculating lease profit. The results of study are as follows, Treynor's Index was used in long investment performance evaluation because of regional characters non-existing in Seoul and Incheon whereas Jensen's Index was used in evaluating because of regional characters existing in 5 metropolitan cities. And Jensen's Index was used in short-term evaluation of all districts as existing regional characters in all districts. Short-term performance considering regional characteristics yielded different results of simple evaluation. Therefore, in case of simple rate of return to evaluate the performance, the recognition of that can be distorted.

Multi-objective portfolio optimization of mutual funds under downside risk measure using fuzzy theory

Article history: Received 6 April 2012 Received in revised format 26 April 2012 Accepted May 24 2012 Available online 30 May 2012 Mutual fund is one of the most popular techniques for many people to invest their funds where a professional fund manager invests people's funds based on some special predefined objectives; therefore, performance evaluation of mutual funds is an important problem. This paper proposes a multi-objective portfolio optimization to offer asset allocation. The proposed model clusters mutual funds with two methods based on six characteristics including rate of return, variance, semivariance, turnover rate, Treynor index and Sharpe index. Semivariance is used as a downside risk measure. The proposed model of this paper uses fuzzy variables for return rate and semivariance. A multi-objective fuzzy mean-semivariance portfolio optimization model is implemented and fuzzy programming technique is adopted to solve the resulted problem. The proposed model of this paper has gathered the information of mutual fund traded on NASDAQ from 2007 to 2009 and Pareto optimal solutions are obtained considering different weights for objective functions. The results of asset allocation, rate of return and risk of each cluster are also determined and they are compared with the results of two clustering methods. © 2012 Growing Science Ltd. All rights reserved

Classic performance indexes revisited: axiomatic and applications

In this short article we revisit three classic performance indexes: Sharpe, Treynor and Jensen, adding a fourth index, the Penalized Internal Rate of Return (PIRR), which is perfectly coherent with those three. We propose some axioms that support the logic of these indexes, identifying one exception for the Treynor index and warning about the problems of quotients use. All these are empirically supported.

Performance Evaluation of Some Private Sector Bank Sponsored Midcap Funds

The performance of few selected Midcap funds, HDFC, ICICI Prudential, Kotak Mahindra and Axis funds have been studied from their inception to the present financial year. The returns are compared with the market returns. The evaluation parameters Sharpe Index. Treynor Index, Jensen’s Alpha, Fama’s Measure and M have been computed for evaluation. Pearson correlation of these parameters is also reported.

Equanimity of Risk and Return Relationship between Shariah Index and General Index in India

The present study empirically examines the risk and return of the Nifty Shariah index and Nifty index during the period 2nd January 2007 to 31st December 2010. The sample period is further divided into bull market period and bear market period based on the movement of the both indices during the study period. The objective of the study is to analyse the performance of the Islamic index and common index and to test whether any significant difference between both indices in India. Based on the previous studies, the present paper employs Risk adjusted measurement such as Sharpe index, Treynor Index and Jensen alpha. The t- test is used to test the mean returns difference between both indices. The study found that Nifty Shariah has been underperformed during the sample and sub sample period. According to ttest, the mean difference between both indices has not been significant which reveals both are consistent. The risk adjusted returns for the both indices reveals that both were underperforming with respect to risk free rate of return. The study has also disclosed the low volatile nature of Nifty Shariah than Nifty index. Finally, the study concludes that Nifty Shariah and Nifty indices in India are performing in a similar manner.

Cross-listing effect of U.S. casino companies: Risk-adjusted performances

Globalization and market liberalization have resulted in more firms being listed on foreign stock exchanges. Even though cross-listing is an important corporate financial decision, research in this area for the hospitality discipline has been limited. The current study investigates issues of international cross-listing from the perspective of diversification. The findings from examination of five risk-adjusted measurements—Jensen's Alpha, Treynor Index, Sharpe Ratio, Sortino Ratio, and Upside Potential Ratio—for U.S. casino companies show that cross-listing improves U.S. casinos’ performances in terms of Jensen's Alpha and Sharpe Ratio, but not in terms of the other three measures.

Different Risk-Adjusted Fund Performance Measures: A Comparison

Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen's alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk (VaR), would be more appropriate. Standard VaR assumes that returns are normally distributed, though they usually present skewness and kurtosis. In this paper we compare these different measures of risk: traditional ones vs. ones that take into account fat tails and asymmetry, such as those based on the Cornish-Fisher expansion and on the extreme value theory. Moreover, we construct a performance index similar to the Sharpe ratio using these VaR-based risk measures. We then use these measures to compare the rating of a set of mutual funds, assessing the different measures' usefulness under the Basel II risk management framework.

Investment Performance Testing with the Sharpe and Treynor Measures: Australian Evidence

The evaluation of investment performance is important in academic circles and crucial for fund managers. The literature reveals that managed funds are underperforming against the stock market or other benchmark indicators, such as the S&P 500 index (US). A number of evaluations of mutual funds performance have been implemented. However, there is a focus on the United States data and, more specifically, wholesale funds. Due to the lack of Australian retail equity funds data, this paper analyses the monthly returns of active Australian retail equity funds compared to the stock market returns (S&P/ASX 200). For this purpose, risk adjusted performance measures are suggested by using the Sharpe index and Treynor index. In a sample of 117 funds over the 2000 to 2010 period, it is found that 42 per cent have been over performing against the market according to the Sharpe measure, while 47 per cent of the equity funds can earn higher risk adjusted returns than the benchmark indicator according to the Treynor measure. What is more, significant evidence is found to support the hypothesis that the Australian equity mid/small blend and the Australian equity mid/small value can perform better than the benchmark and other Australian equity mutual funds categories. It can be demonstrated, then, that the Australian equity funds perform poorly in terms of total risk and risk adjusted performance against the stock market index by applying the Sharpe and Treynor measures.

Capital Asset Pricing Models and Performance Measures in the Downside Risk Framework

The purpose of this article is twofold. First, we present the capital asset pricing models and the performance measures in the downside risk framework as an alternative to traditional CAPM and to traditional performance measures, respectively. Second, we propose two new performance measures in the downside risk framework. The empirical investigation based on Morgan Stanley Capital Indices (MSCI) database of emerging markets shows that the capital asset pricing models in the downside risk framework, especially the D-CAPM, describe better the valuation of assets. The results obtained also support the Sortino ratio, the upside potential ratio and Omega measure over Sharpe ratio. Similarly, the results support our two performance measures over Treynor Index and the Jensen alpha.

Portfolio Optimization of Equity Mutual Funds—Malaysian Case Study

We focus on the equity mutual funds offered by three Malaysian banks, namely Public Bank Berhad, CIMB, and Malayan Banking Berhad. The equity mutual funds or equity trust is grouped into four clusters based on their characteristics and categorized as inferior, stable, good performing, and aggressive funds based on their return rates, variance and treynor index. Based on the cluster analysis, the return rates and variance of clusters are represented as triangular fuzzy numbers in order to reflect the uncertainty of financial market. To find the optimal asset allocation in each cluster we develop a hybrid model of optimization and fuzzy based on return rates, variance. This was done by maximizing the fuzzy return for a tolerable fuzzy risk and minimizing the fuzzy risk for a desirable fuzzy return separately at different confidence levels.

Performance Measurement of Hedge Funds Portfolios in a Downside Risk Framework

We showed that traditional performance measures are not adequate for the performance evaluation of hedge funds portfolios because they take into account neither the asymmetry of returns nor the risk perception of investors. In order to overcome this problem, we made recourse to performance measures in the downside risk framework. By using the Credit Suisse/Tremont Hedge Fund database, we showed that Sortino ratio; upside potential ratio and Omega measure make it possible to overcome the drawbacks of Sharpe ratio. The results obtained also showed that the index of Mamoghli and Daboussi is the adequate measure which makes it possible to surmount the drawbacks of Treynor index and Mishra and Rahman index. Likewise, the results proved that alpha of Mamoghli and Daboussi measures more correctly than Jensen alpha and Mishra and Rahman alpha the performance of hedge funds.

Capital Asset Pricing Models and Performance Measures in the Downside Risk Framework

The purpose of this article is twofold. First, we present the capital asset pricing models and the performance measures in the downside risk framework as an alternative to traditional CAPM and traditional performance measures respectively. Second, we develop two new performance measures in the downside risk framework. The empirical investigation based on Morgan Stanley Capital Indices MSCI database of emerging markets shows that the capital asset pricing models in the downside risk framework, especially the D-CAPM, describe better the valuation of assets. The results obtained also support the Sortino ratio, the upside potential ratio and Omega measure over Sharpe ratio. Similarly, the results support our two performance measures over Treynor index and the Jensen alpha.

Performance differences in property-type diversified versus specialized real estate investment trusts (REITs)

Evidence from the corporate finance literature indicates that diversified firms trade at a discount to otherwise comparable specialized firms. However, very little research has addressed whether a similar diversification discount might exist in equity REITs that diversify across property types relative to those specializing in one property type. Using a sample of 75 equity REITs, the existence of a property-type diversification discount is tested using standard Jensen's Alpha, Treynor Index, and Sharpe Ratio performance ranking methodologies over four commonly employed market proxies. Several variations of these standard tests are also utilized as robustness checks.

Portfolio optimization of equity mutual funds with fuzzy return rates and risks

Portfolio selection is an important issue for researchers and practitioners. Focusing on equity mutual funds, this paper proposes a basic portfolio selection model in which future return rates and future risks of mutual funds are represented by triangular fuzzy numbers. Firstly, a cluster analysis is proposed to categorize the huge amount of equity mutual funds into several groups based on four evaluation indices: rates of return, standard deviation, turnover rate, and Treynor index, in order to aid investors in making the investment decision. The fuzzy optimization model is proposed to determine the optimal investment proportion of each cluster. The portfolio optimization problem is developed in two ways: to maximize the future expected return subject to the given greatest future risk, and to minimize the future risk subject to a required lowest future expected return. The proposed approaches are demonstrated by Taiwan equity mutual funds.