The Sharpe Ratio's Market Climate Bias - Theoretical and Empirical Evidence from US Equity Mutual Funds
Year of publication: |
2006-02-24
|
---|---|
Authors: | Scholz, Hendrik ; Wilkens, Marco |
Institutions: | Lehrstuhl für ABWL, Finanzierung und Bankbetriebslehre <Eichstätt-Ingolstadt> |
Subject: | Fonds | Portfolio Selection | Markt |
- 1. Introduction
- 2. The market climate bias - theoretical foundation
- 2.1 Sharpe ratio and main characteristics of funds
- 2.2 Impact of market climates on the Sharpe ratio
- 3. The market climate bias - empirical analysis
- 3.1 Data
- 3.2 Impact of market climates on (differential) Sharpe ratios and fund rankings
- 4. "Normalized" Sharpe ratio
- 5. Conclusion
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