The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data

Detalhes bibliográficos
Autor(a) principal: Alves, Pedro Miguel Carregueiro Jordão
Data de Publicação: 2018
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/32318
Resumo: The Sharpe ratio is one of the most widely used measures of risk-adjusted returns. It rests on the estimation of the mean and standard deviation of returns, which is subject to estimation errors. Moreover, it assumes identically and independently distributed returns, normality and no serial correlation, which are very restrictive assumptions in general. By using the Generalized Method of Moments approach to estimate these quantities, the assumptions may be relaxed and a more efficient estimator can be derived, by allowing serial correlation in returns. The purpose of this research is to show how serial correlation can affect the timeaggregation of Sharpe ratios, changing the ordering of a ranking of assets based on the ratio.
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spelling The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly dataserial correlationsharpe ratiotime-aggregationrisk-adjusted returnsDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe Sharpe ratio is one of the most widely used measures of risk-adjusted returns. It rests on the estimation of the mean and standard deviation of returns, which is subject to estimation errors. Moreover, it assumes identically and independently distributed returns, normality and no serial correlation, which are very restrictive assumptions in general. By using the Generalized Method of Moments approach to estimate these quantities, the assumptions may be relaxed and a more efficient estimator can be derived, by allowing serial correlation in returns. The purpose of this research is to show how serial correlation can affect the timeaggregation of Sharpe ratios, changing the ordering of a ranking of assets based on the ratio.Silva, André CastroRUNAlves, Pedro Miguel Carregueiro Jordão2018-03-12T15:09:17Z2018-01-202018-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/32318TID:201861283enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:17:59Zoai:run.unl.pt:10362/32318Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:29:50.385701Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data
title The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data
spellingShingle The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data
Alves, Pedro Miguel Carregueiro Jordão
serial correlation
sharpe ratio
time-aggregation
risk-adjusted returns
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data
title_full The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data
title_fullStr The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data
title_full_unstemmed The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data
title_sort The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data
author Alves, Pedro Miguel Carregueiro Jordão
author_facet Alves, Pedro Miguel Carregueiro Jordão
author_role author
dc.contributor.none.fl_str_mv Silva, André Castro
RUN
dc.contributor.author.fl_str_mv Alves, Pedro Miguel Carregueiro Jordão
dc.subject.por.fl_str_mv serial correlation
sharpe ratio
time-aggregation
risk-adjusted returns
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic serial correlation
sharpe ratio
time-aggregation
risk-adjusted returns
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The Sharpe ratio is one of the most widely used measures of risk-adjusted returns. It rests on the estimation of the mean and standard deviation of returns, which is subject to estimation errors. Moreover, it assumes identically and independently distributed returns, normality and no serial correlation, which are very restrictive assumptions in general. By using the Generalized Method of Moments approach to estimate these quantities, the assumptions may be relaxed and a more efficient estimator can be derived, by allowing serial correlation in returns. The purpose of this research is to show how serial correlation can affect the timeaggregation of Sharpe ratios, changing the ordering of a ranking of assets based on the ratio.
publishDate 2018
dc.date.none.fl_str_mv 2018-03-12T15:09:17Z
2018-01-20
2018-01-20T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/32318
TID:201861283
url http://hdl.handle.net/10362/32318
identifier_str_mv TID:201861283
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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