Browsing by Subject "Omega Ratio"
Now showing items 1-4 of 4
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Establishing the relative competitiveness of South African banking shares: a Kalman filter approach
(Clute Institute, 2015)It is argued that the Basel III Accord will undermine the ROE of South African banks, and with the downgrading of South African banks during August 2014, will force investors to revaluate South African banking shares as ... -
Hedge fund performance evaluation using the sharpe and omega ratios
(Clute Institute, 2014-05)The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio ... -
A risk-adjusted evaluation of the JSE top 40 as an international investment option
(Clute Institute, 2014)In response to the wealth destruction caused by the 2007/2008 global financial crisis, many developed economies have lowered their interest rates to improve their balance sheets (SARB, 2008-2012). However, in order for ... -
The eminence of risk-free rates in portfolio management: a South-African perspective
(Clute Institute, 2016)The traditional Capital Asset Pricing Model (CAPM) suggests that the minimum return required by an investor should be equal to the return of a risk-free asset (Reilly & Brown, 2003), which should be stable (Reilly & Brown, ...