INVESTOR-SPECIFIC PERFORMANCE MEASUREMENT - A JUSTIFICATION OF SHARPE RATIO AND TREYNOR RATIO

Hendrik Scholz · Marco Wilkens

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Risk and Portfolio Optimization

Abstract

This article defines the investor-specific performance measure ISM necessary for investors in practically relevant decision situations. In such situations a typical investor creates an overall portfolio consisting of three parts: an arbitrary fund, a risk-free asset and an existing, fixed portfolio. Since the ISM is considerably defined by the Sharpe ratio and the Treynor ratio, an economic justification of these traditional performance measures is also presented here.

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1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 1994The Sharpe Ratio 2012How to Rate Management of Investment Funds 2005A jigsaw puzzle of basic risk-adjusted performance measures

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2017The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets 2017Performance Evaluation of Equity Mutual Funds in Indonesia 2017PERFORMANCE EVALUATION AND RISK AVERSION RATE FOR SEVERAL STOCK INDICES IN INDONESIA STOCK EXCHANGE

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