Matches in SemOpenAlex for { <https://semopenalex.org/work/W2891820196> ?p ?o ?g. }
Showing items 1 to 79 of
79
with 100 items per page.
- W2891820196 abstract "Performance measurement is an area of crucial interest in asset valuation and investment management. High volatility as well as time aggregation of returns, amongst other characteristics, may distort the results of conventional measures of performance. In this work, we study the performance of 115 Spanish Absolute Return Funds in the period 2010-2015, using the Sharpe, Treynor, Jensen and Modified Sharpe ratios. We then apply Data Envelopment Analysis to classify the funds in order to avoid the problems arising from the non-normality of their returns, since non-gaussian returns do not pose a problem in Data Envelopment Analysis implementation. In addition, we apply the Malkiel, Brown and Goetzman test and the Rude and Khan test in annual periods to determine the existence of persistence. Finally, we study the relationship between efficiency and persistence in order to determine the relationship between both measures and to support decision-making processes. The results show a significant relationship between cross efficiency and Modified Sharpe ratios as well as the existence of persistence for annual periods. Nevertheless, the results do not allow concluding any relationship amongst efficiency and persistence." @default.
- W2891820196 created "2018-09-27" @default.
- W2891820196 creator A5015311621 @default.
- W2891820196 creator A5016686494 @default.
- W2891820196 creator A5069470623 @default.
- W2891820196 date "2018-06-30" @default.
- W2891820196 modified "2023-09-30" @default.
- W2891820196 title "Efficiency and Persistence of Spanish Absolute Return Funds" @default.
- W2891820196 doi "https://doi.org/10.46661/revmetodoscuanteconempresa.2703" @default.
- W2891820196 hasPublicationYear "2018" @default.
- W2891820196 type Work @default.
- W2891820196 sameAs 2891820196 @default.
- W2891820196 citedByCount "0" @default.
- W2891820196 crossrefType "journal-article" @default.
- W2891820196 hasAuthorship W2891820196A5015311621 @default.
- W2891820196 hasAuthorship W2891820196A5016686494 @default.
- W2891820196 hasAuthorship W2891820196A5069470623 @default.
- W2891820196 hasBestOaLocation W28918201961 @default.
- W2891820196 hasConcept C105795698 @default.
- W2891820196 hasConcept C106159729 @default.
- W2891820196 hasConcept C121955636 @default.
- W2891820196 hasConcept C127413603 @default.
- W2891820196 hasConcept C139938925 @default.
- W2891820196 hasConcept C149782125 @default.
- W2891820196 hasConcept C162118730 @default.
- W2891820196 hasConcept C162324750 @default.
- W2891820196 hasConcept C169549615 @default.
- W2891820196 hasConcept C175444787 @default.
- W2891820196 hasConcept C186027771 @default.
- W2891820196 hasConcept C187320778 @default.
- W2891820196 hasConcept C22088475 @default.
- W2891820196 hasConcept C26021514 @default.
- W2891820196 hasConcept C26584437 @default.
- W2891820196 hasConcept C2778348673 @default.
- W2891820196 hasConcept C2780821815 @default.
- W2891820196 hasConcept C2781009140 @default.
- W2891820196 hasConcept C33923547 @default.
- W2891820196 hasConcept C44723521 @default.
- W2891820196 hasConcept C91602232 @default.
- W2891820196 hasConceptScore W2891820196C105795698 @default.
- W2891820196 hasConceptScore W2891820196C106159729 @default.
- W2891820196 hasConceptScore W2891820196C121955636 @default.
- W2891820196 hasConceptScore W2891820196C127413603 @default.
- W2891820196 hasConceptScore W2891820196C139938925 @default.
- W2891820196 hasConceptScore W2891820196C149782125 @default.
- W2891820196 hasConceptScore W2891820196C162118730 @default.
- W2891820196 hasConceptScore W2891820196C162324750 @default.
- W2891820196 hasConceptScore W2891820196C169549615 @default.
- W2891820196 hasConceptScore W2891820196C175444787 @default.
- W2891820196 hasConceptScore W2891820196C186027771 @default.
- W2891820196 hasConceptScore W2891820196C187320778 @default.
- W2891820196 hasConceptScore W2891820196C22088475 @default.
- W2891820196 hasConceptScore W2891820196C26021514 @default.
- W2891820196 hasConceptScore W2891820196C26584437 @default.
- W2891820196 hasConceptScore W2891820196C2778348673 @default.
- W2891820196 hasConceptScore W2891820196C2780821815 @default.
- W2891820196 hasConceptScore W2891820196C2781009140 @default.
- W2891820196 hasConceptScore W2891820196C33923547 @default.
- W2891820196 hasConceptScore W2891820196C44723521 @default.
- W2891820196 hasConceptScore W2891820196C91602232 @default.
- W2891820196 hasLocation W28918201961 @default.
- W2891820196 hasLocation W28918201962 @default.
- W2891820196 hasOpenAccess W2891820196 @default.
- W2891820196 hasPrimaryLocation W28918201961 @default.
- W2891820196 hasRelatedWork W1705423208 @default.
- W2891820196 hasRelatedWork W2025017477 @default.
- W2891820196 hasRelatedWork W2085162573 @default.
- W2891820196 hasRelatedWork W2357478595 @default.
- W2891820196 hasRelatedWork W2515205588 @default.
- W2891820196 hasRelatedWork W2885976039 @default.
- W2891820196 hasRelatedWork W3125784162 @default.
- W2891820196 hasRelatedWork W4244897355 @default.
- W2891820196 hasRelatedWork W4313238885 @default.
- W2891820196 hasRelatedWork W3013339777 @default.
- W2891820196 hasVolume "25" @default.
- W2891820196 isParatext "false" @default.
- W2891820196 isRetracted "false" @default.
- W2891820196 magId "2891820196" @default.
- W2891820196 workType "article" @default.