Treynor Ratio Research Articles

Apakah Kinerja Saham Syariah Lebih Baik Dibandingkan Saham Non-Syariah pada Tahun 2018-2019?

There are two considerations that investors need to notice if they want to invest in the capital market, namely, return and risk. An investor needs to diversify to gain benefits and minimize risk by forming the optimal stock portfolios. This research analyzes the differences between Islamic stock (based on JII) and non-Islamic stock (based on LQ45) stock portfolio investment using the single index model. The samples were consistently listed on the JII and LQ45 stock indices in January 2018-December 2019. There are 35 stocks for the LQ45 stock index and 25 stocks on the JII stock index. Sharia stocks' optimal portfolio comprises three stocks, while the optimal portfolio of non-Islamic stocks shall consist of four stocks. The Independent Sample T-Test was implemented to analyze the differences between the Islamic (JII) and non-Islamic (LQ45) optimal stock portfolios based on the Sharpe Ratio, Jensen Ratio, and Treynor Ratio. The results show that there is no significant difference between Islamic and non-Islamic stocks.

Association between fund attributes and fund's performance: a panel data approach

PurposeThe present study tries to explore the various fund attributes that influence the mutual fund performance. Further, study examined the effect of mutual fund attributes namely, Net Asset Value (NAV), Portfolio turnover ratio (PTR), fund size (AUM), expense ratio (ExpR) and fund age (Age) on mutual fund's performance using gross return and risk-adjusted performance measures.Design/methodology/approachThe study evaluated balanced panel data (short panel) comprising 81 Indian equity mutual fund schemes for the period of 2013–2019. The study estimated relationship between fund attributes (Net asset value, Portfolio turnover ratio, Fund age, fund size and Expense ratio) and fund performance (using gross return and risk-adjusted performance measures), through panel data regression using fixed-effects model as suggested by Hausman specification test on transformed data (due to high multicollinearity), with cluster-robust estimators due to the presence of heteroskedasticity in the model.FindingsThe findings of the study suggested that using gross return as fund performance measure, PTR, NAV, AUM, Age exhibit significant relationship with the fund performance whereas using risk-adjusted performance measures (Treynor ratio and Jensen alpha) NAV and ExpR significantly influences the fund performance. Identification of the significant relationship between fund characteristics and fund performance offers valuable insights to the investors and fund managers for rationally managing their portfolio with the ultimate objective of the wealth maximization.Research limitations/implicationsThe study considered only 81 equity mutual fund schemes. Some of the data were not available at the time of the study due to the policy of the company. The present study contributes significantly in examining the expected association between fund attributes and fund performance in the context of Indian mutual fund industry where this relationship were explored less.Practical implicationsThe findings of the present study will help the investors to take the rational investment decision with the ultimate objective of maximum return with minimal risk. The findings also offer significant germane to the stakeholders in making rational decision-making process.Originality/valueThere is dearth of study concerning the relationship between mutual fund characteristics and fund performance with respect to Indian mutual fund industry. Therefore, study provides valuable insights to the area of the portfolio selection and management with respect to Indian mutual funds.

Borsa İstanbul da İşlem Gören Perakende Ticaret Şirketleri Hisse Senetlerinin Performansının Treynor Oranı İle Ölçümü

Equity investment in developing countries is an important alternative to generating returns above risk-free returns. Investors who take risks by investing in stocks, expect returns above risk-free returns. Accordingly, the preference of the equity to be invested is extremely important. The Treynor performance measurement method, which takes into consideration the stock risk, risk-free return and average return of the stock, is an important method that can be used in this field. In our study, the performance of stocks of retail trade companies traded on Borsa Istanbul was measured according to Treynor ratios calculated over monthly returns of the past 5 years. The results of the measurements were compared with the results of September and October 2019. Only four stocks have positive Treynor ratios, yield higher than risk-free returns, others have negative Treynor ratios, yield less risk-free returns. Study shows that, stocks which have positive Treynor ratio generated higher return in September and October 2019 higher than other stocks.

Association of Mutual Fund Risk Measures and Return Parameters: A Juxtapose of Ranking for Performance in Pakistan

This purpose of this study is to investigate the association among mutual funds (MFs) risk measures and return parameters, evaluate mutual fund performance and also explore the best appropriate mutual fund performance measure for investment in Pakistan. Therefore, thirtyfive mutual funds have been selected for the period 2007-2015. The Sharpe, Treynor, Jensen Alpha, Information ratio and Fama’s Net Selectivity measures has been used to analyze MF performance. Our study findings show significant positive relation exist between Sharpe and Jenson alpha & information ratio (IR); Treynor ratio is negatively correlated to Jenson alpha and Jenson alpha is positively allied with IR. Moreover, association among performance measures, Fama’s net selectivity is a major driver in leading to other measures but Sharpe and IR lead to Treynor ratio as well. Furthermore, performance measures are ranked in accordance standard deviation with the arrangement of Fama’s net selectivity at top, Jenson Alpha at second, Sharpe ratio at third, IR at fourth and Treynor ratio at fifth position according to risk parameters in Pakistan. Overall, Jensen Alpha measure appears to be the best suitable mutual fund performance measure in Pakistan due to its practical nature. Finally, the Pakistani stock market index KSE100 (as benchmark) performs better than MF industry of Pakistan.

Impact of COVID-19 on Performance Evaluation Large Market Capitalization Stocks and Open Innovation

This research is an event study that evaluates the performance of large market capitalization shares using a performance model that is adjusted to risks due to the COVID-19 outbreak. The study measured the performance of large market capitalization stocks which represented each tick size on the Indonesian Stock Exchange during the COVID-19 pandemic using the Sharpe Index, the Treynor Ratio, and Jensen’s Alpha. The sample selection used a purposive sampling technique and 24 stocks were selected as samples in the study. We used the daily closing price of stocks, the Indonesia composite index, and average risk-free rate return (BI rate). By using Jensen’s Alpha, this study found that FREN was the highest beta with a value of 1.8189, indicating that the index was an effective and well-diversified stock. FREN is low priced and the highest market capitalization stock in its tick size (third tier stocks). Jensen’s Alpha is good for measuring the performance of large capitalization and low-priced stocks. There are eight stocks that always have negative values in each method of measuring stock performance, which indicates that these stocks underperformed during COVID-19.

Evaluation the performance of stock funds using multi-criteria decision-making methods

Purpose- The aim of this study is to apply MCDM methods in addition to the traditional methods which are commonly utilized in evaluating the efficiency of stock funds. In this direction, starting from the fact that the normal distribution of stock returns, which is one of the assumptions of Modern Portfolio Theory, is mostly violated in practice, higher order moments are included in the objective functions of MCDM methods in addition to the first and second moments. Methodology-. In this study, in addition to the traditional performance measurement methods such as Sharpe Ratio, Information Ratio, Treynor Ratio and Jensen's Alpha; Adjusted Sharpe Ratio and TOPSIS, MOORA from MCDM methods are utilized by including high-order moments in addition to the first and second moments in the objective functions. In the next step, the ranking process was carried out with respect to traditional and recommended performance evaluation methods. Then, the rankings were evaluated using Spearman Rank Correlation Test. Findings- As a result of the analyses using the stock funds obtained from the TEFAS Turkey Electronic Fund Trading Platform for the period of 2018, 2019 and the first 9 months of 2020, ranking process is carried out using each methods’ and these rankings are compared using the Spearman Rank Correlation Test. According to the results of the Jarque-Bera test, it is seen that the majority of the stock funds included in the sample do not show normal distribution. This situation strengthens our hypothesis and emphasizes the necessity of including higher moments in the analysis. According to Spearman’s Rank Correlation Test results, strong relationships are found among the rankings obtained from traditional performance measurement methods. Moreover, it has been observed that the strength of the relationship between non-traditional methods and traditional methods is very weak. In other words, while the stock funds proposed by a traditional method were supported by other traditional methods, by making suggestions in a different direction TOPSIS and MOORA offered an alternative perspective considering the high-order moments. Conclusion- In this study, it is shown that the higher order moments and alternative ranking methods can be used in evaluating the performance of stock funds. In the view of both performance measurement and the portfolio selection window, these methods are considered to be useful in the analysis of stock funds. Accordingly, this study is intended to provide a perspective for equity fund managers, fund investors, and researchers to evaluate the effectiveness of stock funds.

Evaluating Financial Integration in Euro Area Stock Markets with Return and Performance Dispersion Indices

This paper presents indices of return and performance dispersion between ten developed domestic stock markets of the euro area to assess progress in their integration since the launch of the single currency. This approach is based on previous literature according to which domestic financial market integration results in greater similarity between the performance of these financial markets. The performance measures used are time varying Treynor ratios based on beta coefficients given by estimations of DCC MGARCH models relating each domestic market stock price index to the EMU area market stock price index. Cross-section dispersion measures (CSDM) are calculated daily for return and performance of the domestic markets. The calculation of CSDM supports the construction of return and performance dispersion indices which show the evolution of the integration of this group of domestic markets.

PERFORMANCE EVALUATION OF EXCHANGE TRADED FUND IN THE INDONESIA STOCK EXCHANGE

This study evaluates the performance of the Exchange Traded Fund (ETF) index in the Indonesia Stock Exchange by using the Treynor Ratio, Sharpe Ratio, Sortino Ratio, Jensen Alpha, Information Ratio, and Omega Ratio. There are 12 ETFs to be evaluated, R-LQ45X, XIIC, XIIT, XIJI, XISI, XISR, XIIF, XISC, XPLQ, XPDV, XPES, XPLC. The data used in this study are the weekly closing price and risk-free investment that is represented by the BI rate from January 2018 to December 2019. The result of this study shows that there are only two of the ETF that has better performance than risk-free investment, namely XIIT and R-LQ45X if it is calculated by using the Sharpe Ratio, Sortino Ratio, Information Ratio, and Omega Ratio. In contrast, the Treynor Ratio and Jensen Alpha show negative value or worse than risk-free investment.

Analysing The Performance of Malaysian Islamic and Conventional Stock Portfolios

This paper examines the performance of Islamic stock portfolio (ISP) and conventional stock portfolio (CSP) in the Malaysian stock market. The well-accepted four performance measures Jensen’s Alpha, Beta, Sharpe ratio and Treynor ratio are employed to evaluate the performance of ISP and CSP. First the ISP and CSP are constructed within-the-sector for the consumer product, industrial product, plantation, properties and trading service sectors from January 2010 to December 2017. For the same period, the ISP and CSP are also developed across-the-sectors by selecting one top stock from each sector. The minimum three out of four performance measures indicate that the ISP outperforms CSP within-the-sector for all sectors except plantation. However, the ISP and CSP perform equally across-the-sectors. It can be concluded that the ISP is superior to CSP in terms of risk-return trade-off in most of the cases within-the-sector. This finding implies that risk-sharing strategy of the ISP is better than risk-diversification strategy of the CSP for higher portfolio return.

Performance Evaluation of Debt Mutual Funds of HDFC AMC

In terms of both the investment and the savings rate, the Indian economy has been facing the impacts of a slowdown. But it is also true that the reversing process of the investment slowdown, which is still in the process or underway is more critical and difficult at this juncture. (Minsky, 2017-18) The investors in India are risk-averse and therefore they prefer investing in the securities that are safe and give them decent returns. Among the plethora of options for investments, Mutual Fund Industry has the safest image in terms of investments. Mutual Fund Industry is becoming popular day-by-day. This brings in need of a performance analysis of mutual funds for both the investors and the fund houses. In this research paper, an attempt has been made to study the performance of the Top 5 Debt Schemes of HDFC AMC namely HDFC Corporate Bond Fund, HDFC Short Term Debt Fund, HDFC Credit Risk Debt Fund, HDFC Gilt Fund, and HDFC Dynamic Debt Fund (based on their AUMs) based on risk-return relationship models and various measures. The study and the analysis have been made on the basis of their Standard Deviation measure, Beta risk measure, Sharpe ratio measure, Treynor ratio measure, and Jensen Alpha measure. Conventionally, risk-return ratios like Standard Deviation, Beta, Sharpe ratio, Treynor ratio, and Jensen Alpha are calculated only for equity mutual funds and not for debt mutual funds but the new generation empirical studies have proved that these ratios are equivalently beneficial for debt mutual funds also because they give the accurate dimension of the risk the investor takes for particular debt scheme. This existing research gap has motivated me to take this forward and make an attempt to give a better picture of the performance of the debt mutual funds of HDFC AMC. If these calculations are implemented by the industry experts to the debt mutual funds, this would bring great benefits to the investors because they will clearly know how much return they will get viz-a-viz the risk they are taking. An initiative has been taken by ICICI Prudential Mutual Fund house to incorporate a few of the stated ratios in their debt mutual funds’ factsheets and an attempt has been made in this study to calculate these ratios for HDFC AMC. The study entails the literature review, research methodology, results and discussion, summary of findings, and conclusion of the study. Objectives: 1. To evaluate the performance of the selected mutual fund debt schemes of HDFC AMC on the basis of their risk and returns parameters and compare them with their respective benchmark indices. 2. To appraise the performance of selected mutual fund debt schemes of HDFC AMC with risk-adjusted measures such as Sharpe Ratio, Treynor’s Ratio, and Jensen’s Alpha Ratio.

How to Select a Portfolio Performance Measure?

This paper reviews the main dimensions underlying the selection of a classical portfolio performance measure, namely the Sharpe Ratio, Jensen’s alpha, the Modified Jensen’s alpha, the Treynor Ratio, and the Information Ratio. We first examine how they differ from each other according to the risk (input of performance) and measurement (link between input and output) dimensions. Next, we analyze, from the point of view of the investor, which type of risk (total, systematic, and specific) should be used as the input of performance evaluation. We distinguish the normative approach, in which the investor tries to optimize her portfolio choice, with the positive approach, for which the asset allocation is supposed to be given. We also address the issue of the selection of the appropriate measure from the portfolio manager’s point of view. We show that it primarily depends on the stability of rankings produced with the selected measure. Numerical illustrations of these selection criteria are provided through a simplified, yet realistic example.

Sustainable and responsible investment portfolio performance analysis in Indonesia Stock Exchange

This study is intended for knowing the Sustainable and Responsible Investment (SRI) stock portfolio performance in the Indonesia Stock Exchange (IDX). SRI is a concept where the investor is not only considering financial performance, but also non-financial aspects in the company such as Environmental, Social, and Governance (ESG). The main objective of this study is to compare the performance of the SRI portfolio with the performance of comparable portfolios. Is the performance of the SRI portfolio in IDX better than conventional portfolio and Islamic portfolio? To answer this question, the SRI portfolio will be formed from SRI-KEHATI Index (SRI), a conventional portfolio will be formed from the LQ45 index, and the Islamic portfolio will be formed from Jakarta Islamic Index (JII). The performances of those three portfolios will be compared based on alpha value, Sharpe Ratio, Treynor Ratio, and Sortino Ratio. This study result shows that the SRI portfolio performance in IDX is better than the conventional portfolio and Islamic portfolio. That performance occurs because the average of SRI portfolio excess return has positive value during the study period. JEL Classification: F64, G11, G32 DOI : https://doi.org/10.26905/jkdp.v24i3.4338

Hybrid Balanced Justified Treynor ratio

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 (HBJTR) criterion.Design/methodology/approachThis study introduced the HBJTR criterion, which has three major attributes, including combination of both the frequency and severity of the risk using Markov regime switching model which was modeled on the Justified Beta (Jßi). The second is the merger of data of both the cycles of boom and recession, which was modeled on the Hybrid Justified Treynor Ratio (HJTR). The third was the balancing act in two periods of boom and recession, which was introduced on the HBJTR model.FindingsBased on a weighted averaging of the Justified Treynor ratio of both the cycles of boom and recession, which was introduced by the HJTR term in this study, the superiority in the first grade related to the two indexes were sugar index (0.0096) and insurance index (0.0053). Finally, using the final model in this study, namely HBJTR, the overall advantage was the defensive index, i.e. the insurance index of 1.23.Originality/valueIn other words, the HBJTRi criterion consists of three steps: first, the Justified Beta (Jßi) and Justified Treynor ratio of each index using two regimes of Markov switching model were calculated for each of the cycles of boom and recession separately according to formulas 8 and 9. In the second step, the weighted average was taken from both Justified Treynor ratios of boom and recession cycles, which was called the HJTR. In the third step, to calculate the HBJTR criterion

ANALISIS PERBANDINGAN KINERJA REKSA DANA SYARIAH DENGAN KINERJA REKSA DANA KONVENSIONAL

This study aims to determine the difference between the performance of Islamic mutual funds with the performance of conventional, mixed type and fixed income mutual funds with sharpe ratio, treynor ratio and jensen ratio measurement methods.
 This type of research is quantitative research, where the source of the data used is secondary data. The population in this study are equity, mixed and fixed income mutual funds found on the official website of PT Bareksa Investment Portal, the sample used is conventional and sharia mutual funds issued by the same and active investment managers during 2015-2017. The data used in the form of Net Asset Value (NAV) data for 2014-2017, Jakarta Islamic Index (JII) and Composite Stock Price Index (CSPI), data on interest rates for Bank Indonesia Certificates (SBI) for the 2015-2017 period. The analytical method used is the Independent Sample t-test, with the SPSS program.
 The results showed that there was no significant difference between the performance of Islamic mutual funds and the performance of conventional, mixed, and fixed income types of conventional mutual funds by using sharpe ratio, treynor ratio and jensen ratio measurements.

PERFORMANCE EVALUATION OF LQ45 STOCKS IN THE INDONESIA STOCK EXCHANGE DURING PERIOD OF 2016-2018

Objective: This study investigates the performance evaluation of each LQ45 stock in the Indonesia Stock Exchange conducted by using the Sharpe Index, Treynor Ratio, Jensen Alpha, Sortino Ratio, and Information Ratio. Stocks evaluated are those that consistently listed in the LQ45 index during 2016-2018. Research Design & Methods: The number of samples used in this study was 32 stocks taken using a purposive sampling technique. The data used in this study are the monthly closing price of stocks, the composite stock price index, and the BI 7-day Repo Rate interest rate data. Findings: The results of this study show that not all stocks included in the LQ45 index have good performances. The results of this study show that BBCA stock is the best stocks based on Sharpe Index and Information Ratio. Based on the Jensen Alpha method and the Sortino Ratio, PTBA stock is the best stocks. As for the Treynor Ratio method, the best stock is INCO. Recommendations: There is a blemish in research for further research that is expanding the scope of research, not only companies included in LQ45. Future studies can analyze portfolios consisting of LQ45 stocks and updating periods because stock performance is cyclical. Contribution & Value Added: This research contributes to the analysis of LQ45 stock performance based on five methods including Sortino and Information Ratio that are rarely used and show differences in the results of the five stock performance indices.

EVALUASI RISK DAN RETURN PERUSAHAAN SEKTOR PERTANIAN

<em>The purpose of this study is to analyze the which listed companies in Agriculture Sector at Indonesia Stock Exchange has the most optimal financial performace . The population of this study are companies listed in Agriculture Sector at Indonesia Stock Exchange during January 2017 to December 2019.. The research sample used purposive sampling. The data sourced is monthly stock price downloaded from the Indonesia Yahoo Finance website. The analytical method used is a comparative analysis model. The methods studied are Risk Adjusted Return, Sharpe Ratio, Treynor Ratio and Jensen Alpha Ratio. The findings of this study is PT. Sampoerna Agro Tbk. (SGRO) has the most optimal financial performance, followed by PT. Sinar Mas Agro Resources and Tech Tbk (SMAR) and PT. Perusahaan Prkbn Lndn Smtr Indnsa Tbk. (LSIP) during the periode of the research.</em>

Zakah Rate In Islamic Stock Performance Models: Evidence From Indonesia

<p>There are three models commonly used to measure the performance of Islamicstocks, named Treynor Ratio, Sharpe Ratio, and Jansen Index. One component of the three models is risk-free returns which are usually approached with interest rates, whereas interest rates are prohibited in the concept of Islamic finance. This paper will approach a risk-free return with zakat-rate on the Islamic capital market in Indonesia from January 2011 - July 2018, then compare it with a model that uses interest rates. The results obtained by the model with interest rates and zakah-rate in this third model have very high suitability values, so that zakah-rate can be used as an alternative substitute for interest rates in measuring the Islamic stock performance. Beside not contradicting the concept of Islamic economics, calculation of models with zakah-rate is simpler than models with interest rates.</p>

Are Islamic indices a viable investment avenue? An empirical study of Islamic and conventional indices in India

PurposeThis study aims to empirically compare the performance of Islamic indices vis-à-vis to their conventional counterparts in India.Design/methodology/approachThe performance of the Islamic and selected conventional indices is evaluated using various risk-adjusted performance measures such as Sharpe ratio, Treynor ratio, M-square (M2) ratio, information ratio, capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four-factor model in India context. The period of study is from December 2006 to 2018.FindingsThe risk-adjusted performance measures based on the Sharpe ratio, Treynor ratio, information ratio, the M2 ratio show that the return of Islamic indices provides slightly superior performance. However, performance investigated using CAPM, Fama-French and Carhart benchmarks produce a statistically insignificant differences in return of the Islamic and conventional benchmarks.Research limitations/implicationsThe Sharīʿah-compliant indices can provide a viable, ethical and alternative investment avenue for faith-based investors as it will not make them worse off in comparison to the conventional benchmarks. This also offers opportunity to conventional investors for portfolio diversification. The promotion of faith-based investment can serve as a tool for financial inclusion to attract a huge segment of Indian population in the formal financial system. The findings of the study suffer from the limitation of small sample size and empirical methods used.Originality/valueThis study contributes to the literature on the comparative performance of Islamic and conventional indices in general and emerging markets, in particular, using most recent data and covering a relatively long span of time. To the best of the knowledge, this is the first comprehensive study examining the performance of Islamic indices, using multiple Islamic indices and various risk-adjusted measures in the Indian context.

ISLAMIC VS CONVENTIONAL FUNDS WITHIN THE FAMILY: SELECTIVITY SKILLS AND MARKET TIMING ABILITY

ABSTRACT
 The aim of the study is to compare the performance of Islamic mutual fund (IMF) and conventional mutual fund (CMF) within the same family, in addition, to examine the performance of fund family in Malaysia for the period from 2007 to 2018. The study used eight measures of performance, raw returns, excess returns, Sharpe ratio, Treynor ratio, Jensen alpha, Carhart four-factor model as selectivity models, In addition to Treynor & Mazuy (TM) and Hendrickson & Merton (HM) as market timing models. The study contributes by investigating and compares the performance at the family level. The results reported that IMFs exhibited some fund selection ability over CMFs. However, both types of funds displayed poor market timing ability. At a fund family level, the results show the fund families exhibited good fund selections skills, at the same time, fund family still exhibited poor market timing ability. The novel result of this study that the difference in performance between Islamic and conventional funds shrank compared to the results of previous studies. Due to the common advantages offered by the families for both types of funds. The findings are important to investors because the results provide new evidence about the fund families' performance. Most investors follow the top-down approach, where mutual fund investors initially choose fund families before deciding which funds to hold. In addition, the results are important for managers to decide which types of funds that they may issue in their own families, so that they can perform well in the future.

Performance-Risk Nexus of Global Low-Rated ETFs During the QE-Tapering Period

Abstract This study investigates the performance of 50 global, one star (based on Morningstar rankings), ETFs during the US QE-tapering period starting in October 2014 up to September 2018, using the S&P500 as the market index. The methodology employed is based on the CAPM model. We adopt the Jensen’s Alpha, Beta, a / b, Sharpe and Treynor ratios measures in order to examine whether those ETFs have achieved abnormal returns. We conclude that managers of most ETFs do not exhibit selectivity skills and only six of these ETFs achieve higher returns than the market by showing bullish behavior. At the same time, most ETFs have positive Sharpe and Treynor ratios due to high expected returns during the period under scrutiny.