An APPLICATION on THE SHARPE RATIO and ITS ALTERNATIVES

Abstract

The Sharpe ratio is widely recognized as a foundational method for risk-adjusted performance evaluation in assessing portfolio strategies and investment fund performance. Over time, various performance evaluation methods have emerged that are based on the Sharpe ratio. This proliferation of methods raises the question of whether they yield differing rankings in portfolio performance evaluation when compared to one another. In the first stage of this study, it is examined whether the performance rankings of methods such as—Sharpe ratio, Alternative Sharpe ratio, Adjusted Sharpe ratio, Skew-adjusted Sharpe ratio, Revised Sharpe ratio, Alternative Skew-adjusted Sharpe ratio, and Smoothed Sharpe are examined to determine whether they yield different performance rankings across countries listed in theMSCI Emerging Markets Index. In the second stage, a comparison is made using alternative performance measurement methods such as the Treynor ratio, Jensen ratio, and M2 performance measure. The findings indicate that, all methods except the Alternative Skew-adjusted Sharpe ratio and Smoothed Sharpe ratioproduce nearly identical results.. However, these two methods lead to notable differences in performance rankings compared to the other approaches.

Keywords

• Portfolio Management
• Performance Measure
• Sharpe Ratio

SHARPE ORANI VE ALTERNATİFLERİ ÜZERİNE BİR UYGULAMA

Abstract

Sharpe oranı, portföy stratejilerinin ve yatırım fonlarının performanslarının değerlendirmesinde en sık kullanılan, alıntılanan ve riske karşı ayarlanmış performans yöntemlerinin öncüsü olarak karşımıza çıkmaktadır. Zaman içerisinde Sharpe oranından türetilmiş çok sayıda performans değerlendirme yöntemi uygulamalarda yerini almıştır. Bu durum yöntemlerin birbirleriyle karşılaştırılarak portföy performans değerlendirmesinde farklı sıralamalara yol açıp açmadığı sorusunu gündeme getirmiştir. Bu çalışmanın birinci aşamasında Sharpe oranı, Alternatif Sharpe oranı, Ayarlanmış Sharpe oranı, Çarpıklığa Göre Ayarlanmış Sharpe oranı, Revize Sharpe oranı, Alternatif Çarpıklığa Göre Ayarlanmış Sharpe oranı ve Düzgünleştirilmiş Sharpe oranı yöntemlerinin performans sıralamasında farklı sonuçlar üretip üretmediği MSCI Gelişmekte Olan Piyasalar listesinde yer alan ülkeler özelinde incelenmiştir. İkinci aşamada ise Treynor oranı, Jensen oranı ve M2 performans ölçüm yöntemleri ile kıyaslama yapılmaktadır. Elde edilen sonuçlara göre inceleme dönemi için Alternatif Çarpıklığa Göre Ayarlanmış Sharpe oranı ve Düzgünleştirilmiş Sharpe oranı yöntemleri haricinde diğer yöntemlerin neredeyse aynı sonuçlar verdiği, bu iki yöntemden elde edilen bulgu ve sonuçların ise performans sıralamalarında diğer yöntemlere kıyasla elde edilen sonuçlarda farklılığa yol açtığı tespit edilmiştir.

Keywords

• Portföy Yönetimi
• Performans Ölçümü
• Sharpe Oranı

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