Accounting for skewness in performance evaluation of brazilian mutual fund
Autor(a) principal: | |
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Data de Publicação: | 2009 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional da UFBA |
Texto Completo: | http://repositorio.ufba.br/ri/handle/ri/28325 |
Resumo: | The Sharpe Ratio is probably the most widely known and used performance measure for mutual fund evaluation. However, it is based on the mean-variance theory and thus it is valid either for Normal returns or for quadratic utility functions. It does not take into account skewness of returns’ distributions. If we consider investors with negative skewness aversion, it is interesting to have a measure that goes beyond mean-variance. Koekebakker and Zakamouline (2009) propose a measure called ASSR (Adjusted for Skewness Sharpe Ratio) that generalizes the Sharpe ratio, accounting also for the skewness. However, the ASSR may result in imaginary numbers under certain conditions. In fact, in our sample many funds got imaginary numbers for the ASSR. Thus, we propose a new measure that does not have to deal with imaginary numbers, but maintains the main features of the original measure of Koekebakker and Zakamouline. We use the new measure to rank Brazilian Fixed Income and Multimarkets funds. Results show a very low ranking correlation between the new measure and the Sharpe Ratio, suggesting that skewness is an important issue when analyzing Brazilian mutual funds. |
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Farias, Aquiles Rocha deOrnelas, José Renato HaasSilva Júnior, Antônio Francisco de Almeida daFarias, Aquiles Rocha deOrnelas, José Renato HaasSilva Júnior, Antônio Francisco de Almeida da2019-01-08T13:50:03Z2019-01-08T13:50:03Z2009-05http://repositorio.ufba.br/ri/handle/ri/28325v. 1, p. 119-130The Sharpe Ratio is probably the most widely known and used performance measure for mutual fund evaluation. However, it is based on the mean-variance theory and thus it is valid either for Normal returns or for quadratic utility functions. It does not take into account skewness of returns’ distributions. If we consider investors with negative skewness aversion, it is interesting to have a measure that goes beyond mean-variance. Koekebakker and Zakamouline (2009) propose a measure called ASSR (Adjusted for Skewness Sharpe Ratio) that generalizes the Sharpe ratio, accounting also for the skewness. However, the ASSR may result in imaginary numbers under certain conditions. In fact, in our sample many funds got imaginary numbers for the ASSR. Thus, we propose a new measure that does not have to deal with imaginary numbers, but maintains the main features of the original measure of Koekebakker and Zakamouline. We use the new measure to rank Brazilian Fixed Income and Multimarkets funds. Results show a very low ranking correlation between the new measure and the Sharpe Ratio, suggesting that skewness is an important issue when analyzing Brazilian mutual funds.Submitted by Núcleo de Pós-Graduação Administração (npgadm@ufba.br) on 2018-11-20T18:28:05Z No. of bitstreams: 1 Accounting for Skewness in Performance Evaluation of Brazilian Mutual Fund.pdf: 286558 bytes, checksum: 5e2d710bd44a757425713d5142b98dfc (MD5)Approved for entry into archive by Maria Angela Dortas (dortas@ufba.br) on 2019-01-08T13:50:03Z (GMT) No. of bitstreams: 1 Accounting for Skewness in Performance Evaluation of Brazilian Mutual Fund.pdf: 286558 bytes, checksum: 5e2d710bd44a757425713d5142b98dfc (MD5)Made available in DSpace on 2019-01-08T13:50:03Z (GMT). No. of bitstreams: 1 Accounting for Skewness in Performance Evaluation of Brazilian Mutual Fund.pdf: 286558 bytes, checksum: 5e2d710bd44a757425713d5142b98dfc (MD5) Previous issue date: 2009-05http://ssrn.com/abstract=1402945reponame:Repositório Institucional da UFBAinstname:Universidade Federal da Bahia (UFBA)instacron:UFBASharpe RatioSkewnessPerformance EvaluationAccounting for skewness in performance evaluation of brazilian mutual fundBanking and Finance Reviewinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleBrasilinfo:eu-repo/semantics/openAccessengORIGINALAccounting for Skewness in Performance Evaluation of Brazilian Mutual Fund.pdfAccounting for Skewness in Performance Evaluation of Brazilian Mutual Fund.pdfapplication/pdf286558https://repositorio.ufba.br/bitstream/ri/28325/1/Accounting%20for%20Skewness%20in%20Performance%20Evaluation%20of%20Brazilian%20Mutual%20Fund.pdf5e2d710bd44a757425713d5142b98dfcMD51LICENSElicense.txtlicense.txttext/plain1345https://repositorio.ufba.br/bitstream/ri/28325/2/license.txt0d4b811ef71182510d2015daa7c8a900MD52TEXTAccounting for Skewness in Performance Evaluation of Brazilian Mutual Fund.pdf.txtAccounting for Skewness in Performance Evaluation of Brazilian Mutual Fund.pdf.txtExtracted texttext/plain39149https://repositorio.ufba.br/bitstream/ri/28325/3/Accounting%20for%20Skewness%20in%20Performance%20Evaluation%20of%20Brazilian%20Mutual%20Fund.pdf.txt285c094f82302f11e8eea45af1b77daeMD53ri/283252022-08-08 13:17:54.472oai:repositorio.ufba.br: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Repositório InstitucionalPUBhttp://192.188.11.11:8080/oai/requestopendoar:19322022-08-08T16:17:54Repositório Institucional da UFBA - Universidade Federal da Bahia (UFBA)false |
dc.title.pt_BR.fl_str_mv |
Accounting for skewness in performance evaluation of brazilian mutual fund |
dc.title.alternative.pt_BR.fl_str_mv |
Banking and Finance Review |
title |
Accounting for skewness in performance evaluation of brazilian mutual fund |
spellingShingle |
Accounting for skewness in performance evaluation of brazilian mutual fund Farias, Aquiles Rocha de Sharpe Ratio Skewness Performance Evaluation |
title_short |
Accounting for skewness in performance evaluation of brazilian mutual fund |
title_full |
Accounting for skewness in performance evaluation of brazilian mutual fund |
title_fullStr |
Accounting for skewness in performance evaluation of brazilian mutual fund |
title_full_unstemmed |
Accounting for skewness in performance evaluation of brazilian mutual fund |
title_sort |
Accounting for skewness in performance evaluation of brazilian mutual fund |
author |
Farias, Aquiles Rocha de |
author_facet |
Farias, Aquiles Rocha de Ornelas, José Renato Haas Silva Júnior, Antônio Francisco de Almeida da |
author_role |
author |
author2 |
Ornelas, José Renato Haas Silva Júnior, Antônio Francisco de Almeida da |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Farias, Aquiles Rocha de Ornelas, José Renato Haas Silva Júnior, Antônio Francisco de Almeida da Farias, Aquiles Rocha de Ornelas, José Renato Haas Silva Júnior, Antônio Francisco de Almeida da |
dc.subject.por.fl_str_mv |
Sharpe Ratio Skewness Performance Evaluation |
topic |
Sharpe Ratio Skewness Performance Evaluation |
description |
The Sharpe Ratio is probably the most widely known and used performance measure for mutual fund evaluation. However, it is based on the mean-variance theory and thus it is valid either for Normal returns or for quadratic utility functions. It does not take into account skewness of returns’ distributions. If we consider investors with negative skewness aversion, it is interesting to have a measure that goes beyond mean-variance. Koekebakker and Zakamouline (2009) propose a measure called ASSR (Adjusted for Skewness Sharpe Ratio) that generalizes the Sharpe ratio, accounting also for the skewness. However, the ASSR may result in imaginary numbers under certain conditions. In fact, in our sample many funds got imaginary numbers for the ASSR. Thus, we propose a new measure that does not have to deal with imaginary numbers, but maintains the main features of the original measure of Koekebakker and Zakamouline. We use the new measure to rank Brazilian Fixed Income and Multimarkets funds. Results show a very low ranking correlation between the new measure and the Sharpe Ratio, suggesting that skewness is an important issue when analyzing Brazilian mutual funds. |
publishDate |
2009 |
dc.date.issued.fl_str_mv |
2009-05 |
dc.date.accessioned.fl_str_mv |
2019-01-08T13:50:03Z |
dc.date.available.fl_str_mv |
2019-01-08T13:50:03Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://repositorio.ufba.br/ri/handle/ri/28325 |
dc.identifier.number.pt_BR.fl_str_mv |
v. 1, p. 119-130 |
url |
http://repositorio.ufba.br/ri/handle/ri/28325 |
identifier_str_mv |
v. 1, p. 119-130 |
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.publisher.country.fl_str_mv |
Brasil |
dc.source.pt_BR.fl_str_mv |
http://ssrn.com/abstract=1402945 |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional da UFBA instname:Universidade Federal da Bahia (UFBA) instacron:UFBA |
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UFBA |
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Repositório Institucional da UFBA |
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