Financial analysts have recently paid more attention to so-called emerging markets that are slowly reaching the level of developed stock markets. The objective of this paper is to evaluate the level of yields and risk attributed to developed stock markets (USA, United Kingdom and Germany) and to emerging markets (Brazil is South America, Mexico in Central America, Hong Kong in Asia and Australia). These levels are set separately for the periods from 30 September 2004 to 30 September 2008 and from 30 September 2008 to 30 September 2012. The author compares the changes in levels between both periods and also development of the level of yields and risk within whole period of 12 months periodicity. The macroeconomic situation of these countries during selected period is monitored by means of GDP growth. The values of the stock indices are taken from major stock exchanges in these countries and bond yields are also used. Different standard deviations from the yield of the stock index, variation coefficients and Sharpe ratios are calculated. The author investigates to what extent it is true that higher yields can be achieved on emerging markets, but at the expense of a higher risk than on developed stock markets. Based on founded results it is clear that higher yields can be achieved on emerging markets at the expense of higher risk than on developed ones, but not in every case.
Research background: Institutional investors such as: commercial banks, pension funds, and insurance companies are constantly looking for low-risk stable investment opportunities, whereas one of the solutions can be a simulated portfolio. This research takes a look at the incentive to invest in government debt portfolios, as it can outperform the returns of deposit accounts. Purpose of the article: This study considers several classic methods of portfolio constriction and includes the basis of debt instruments that have not been a research topic for a long period of time. At the same time, this paper analyzes the classic methods of modern portfolio theory with a Sharpe ratio as an indicator of efficiency. Methods: The constructed portfolio consists of four elements from different countries: two government obligations and two bond indexes, aiming to employ international diversification. All the data was collected for the period of 12 years in order to represent the consequences of accrued recessions. Findings & Value added: The past two severe financial crises created a higher demand for stable investments, and more investors are ready to compromise a higher return for it. Therefore, the results of this paper represent a simulation of low-risk hedge fund portfolio construction with the use of highly rated debt instruments.
The aim of the paper is to examine the profitability of Japanese yen carry trade strategies. It has been shown that for the sample of 11 years, annualized excess return of carry trade strategies are positive. Estimated average excess returns, Sharpe ratio and Calmar ratio turn out to reach the levels similar to those reported by other researchers. Moreover, the paper reports that estimated excess returns and Sharpe, Calmar ratios are high and positive during the period from 01.2006 to 07.2007 and negative during the time of high financial turbulence. Additionally, during the time of turbulence in financial markets, when carry trade performs poorly, low-yielding currencies tends to appreciate against high-yielding currencies. It implies that Japanese yen, as an example of the most popular funding currency, may provide a hedge during unstable times of high price volatility in financial market.
This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods are used to estimate confidence intervals for the Sharpe ratio and TailVaR of the Warsaw Stock Exchange sectoral indices. The results show that the bootstrap confidence intervals of different types are quite similarly positioned for each of the analysed index and measure. Taking into the account the locations of confidence intervals for both the Sharpe ratio and TailVaR, the real estate sector tends to be the most advantageous from the investor’s viewpoint.
This paper provides a performance analysis of vice and virtue stocks in the Eurozone for the period between January 2005 and December 2014. In order to do so, a vice index consisting of listed Eurozone companies operating in selected vice industries is created and subsequently matched with a corresponding virtue index, which for the purpose of this analysis is represented by the DJSI Eurozone. The tools used to conduct the performance evaluation are the Sharpe ratio, the capital asset pricing model and the Carhart four-factor model. The analysis indicates no consistent outperformance or underperformance of one or the other index, yet the realised performance over the whole period favours the vice index. Consequently, it can be concluded that from a statistical point of view, there is no substantial advantage or disadvantage in being “good” when investing into stocks, as such it is a matter of investor preference, with the note that historical returns do favour vice stocks.
This paper provides a performance analysis of vice and virtue stocks in the Eurozone for the period between January 2005 and December 2014. In order to do so, a vice index is created consisting out of listed Eurozone companies, operating in selected vice industries and is subsequently matched with a corresponding virtue index, which for the purpose of this analysis is represented by the DJSI Eurzone. The tools used to conduct the performance evaluation are the Sharpe ratio, the Capital asset pricing model and the Carhart’s four-factor model. The analysis indicates, no consistent out- or under- performance of one or the other index, yet the realized performance over the whole period favours the vice index. Consequently one can conclude, that from a statistical point of view, there is no substantial advantage or disadvantage in being “good” when investing into stocks, as such it is a matter of investor preference, with the note that historical returns do favour vice stocks.
The work compares the results obtained with the Sharpe ratio and the selected measures based on this indicator and examines the relationship between them. MAD, DS, ASR, WS and M2 were selected for the study. They were designated for 16 equity funds in the period 2004–2015, which were divided into shorter subperiods (2, 3, 4 and 5 years). The results show a strong correlation of the Sharpe ratio with the MAD, DS, ASR, and M2 ratios and lack of correlation with the WS ratio.
PL
W pracy porównano wyniki otrzymane przy użyciu wskaźnika Sharpe’a i wybranych miar opartych na tym wskaźniku oraz zbadano zależność występującą między nimi. Do badań wybrano wskaźniki: MAD, DS, ASR, WS i M2. Zostały one wyznaczone dla 16 funduszy akcyjnych w okresie 2004–2015, który podzielono na krótsze podokresy (2-, 3-, 4- i 5-letnie). Otrzymane wyniki wskazują na silną korelację wskaźnika Sharpe’a ze wskaźnikami MAD, DS, ASR, M2 oraz jej brak w przypadku wskaźnika WS.
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