The performance measures considered are periodic return, Sharpe Measure, Treynor Measure, Jensen Alpha
, beta, T-test, R-squared test, terminal wealth, portfolio utility and the Reward/SemiVariance (R/SV) ratio.
The Jensen alpha model (Jensen 1968, pp393) is used here to test the performance of those CBs issuance firms after the announcements:
The Jensen alpha model is used to compare the performance of the CBs issuance firms after 3-month, 6-month, 1-year and 3-year periods after announcements.
05 1999:Q2-2002:Q1 Bank Non-bank Mean Jensen alpha -0.
Insignificance of positive Jensen alpha values in Table 2 downplayed the possibility of average fund beating the market, confirming previous research in USA reporting that mutual funds are unable to beat the market (Carlson, 1970; Jensen, 1968).
As for its relation with other evaluation measures, IR can be expressed in terms of Jensen alpha (raw fund return less return predicted by CAPM) when excess returns are estimated with historical data using the single-factor regression equation mentioned in the previous section, while Sharpe ratio (fund risk premium divided by standard deviation of fund return) is a special case of IR (Goodwin, 1998).
In Table 5, a two-sample t-test assuming unequal variances for Jensen alphas of bank and non-bank funds showed bank funds under-performing non-bank funds significantly during 1999 to 2002, but for 2003 to 2004, no significant under-performance of bank funds was detected.
Table 2 depicts the Sharpe Ratio, Treynors Ratio and Jensen Alpha for the selected schemes and the market for the period of study, i.
Using equation 7, the values in column 4 of table 2 have been calculated that shows the Jensen alpha for the schemes.
The analysis has been made on the basis of mean return, beta risk, co-efficient of determination, Sharpe ratio, Treynor ratio and Jensen Alpha.
All the sample schemes were not well diversified as depicted by the differences in the Jensen alpha and Sharpe's Differential return.
0643 II Jensen Alpha Mutual Fund Scheme Index Rank Cangrowth Plus Scheme (-) 0.