Browsing by Subject "Sharpe ratio"

Now showing items 1-4 of 4

    • Evaluating novel hedge fund performance measures under different economic conditions 

      Van Dyk, Francois (2014)
      Performance measurement is an integral part of investment analysis and risk management. Investment performance comprises two primary elements, namely; risk and return. The measurement of return is more straightforward ...

    • Flagging potential fraudulent investment activity 

      Van Vuuren, Gary Wayne; King, Jeremy (Emerald, 2016)
      Purpose: This paper aims to investigate the use of the bias ratio as a possible early indicator of financial fraud - specifically in the reporting of hedge fund returns. In the wake of the 2008-2009 financial crisis, ...

    • Optimizing tracking error-constrained portfolios 

      Maxwell, Michael; Daly, Michael; Thomson, Daniel; Van Vuuren, Gary (Taylor & Francis, 2018)
      Active portfolios subject to tracking error (TE) constraints are the typical setup for active managers tasked with outperforming a benchmark. The risk and return relationship of such constrained portfolios is described ...

    • Performance of socially responsible investment funds in South Africa 

      Du Plessis, Ruschelle (2015)
      Socially responsible investing has presented itself as a growing, multifaceted, advanced and sophisticated investment philosophy. Socially responsible investment (SRI) involves incorporating social, ethical and responsible ...