As scientific literature discloses, the main ratios are standard deviation, alpha, beta, Sharpe and Treynor ratios.
Scientists provide us with the main performance methods of mutual fund evaluation like standard deviation, alpha, beta, Sharpe and Treynor ratios.
To gauge the performance of these portfolios, we employ three types of measures: 1) risk-adjusted returns, 2) average six-month buy-and-hold returns, and 3) Sharp and Treynor ratios.
All the betas, Sharpe Ratios, and Treynor Ratios are obtained based on weekly returns.
We synthesise the risk adjusted performance of the different indices in Table 4 as measured by the Sharpe and Treynor ratios with respect to a world market portfolio illustrated by the MSCI World Index.
This result is confirmed by the different performance measures, namely the Sharpe and Treynor ratios as well as the cumulative and BH returns.
Plotting the Treynor ratios of a series of portfolios (including the market portfolio) on a graph allows investors to ascertain whether each portfolio is located above or below the Security Market Line (SML), which is a line that links the risk-free asset with the market portfolio and has a beta of 1.
It is also quite apparent from the Treynor ratios computed that with the exception of Coconut Fixed Income Fund, all other bond funds had negative Treynor ratios for the 3- and 5-year periods.
Portfolio Sharpe and Treynor Ratios Treynor Ratio MSCI EM Diversified Currency/ Sharpe MSCI World Financials MIV Class Ratio Index Index responsAbility EUR 0.
In order to evaluate both the performance and risk character of microfinance investment funds we shall use three risk measures, the standard deviation of returns of a portfolio, the historical portfolio beta coefficient and the R-squared of a portfolio as well as three performance measures largely adopted in the financial literature--so called Jensen's alpha, the Sharpe ratio and the Treynor ratio.
Table 2 showed the average fund having positive Sharpe and Treynor ratios
during both holding periods, implying returns exceeding guaranteed interest rates.
The calculation of the Sharpe and Treynor ratios
assumed a risk-free rate of zero to simplify the calculations.