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A FRAMEWORK OF THREE FAMILIES OF PERFORMANCE MEASURES AGAINST A UNIVERSAL SHARPE MEASURE: KENDALL'S TAU RANK ORDER CORRELATION APPROACH |
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| รหัสดีโอไอ | |
| Creator | Wajid S. Ahmed, Adil T. Paracha, Malik F. Azeem, and Malik J. Saboor |
| Title | A FRAMEWORK OF THREE FAMILIES OF PERFORMANCE MEASURES AGAINST A UNIVERSAL SHARPE MEASURE: KENDALL'S TAU RANK ORDER CORRELATION APPROACH |
| Contributor | - |
| Publisher | TuEngr Group |
| Publication Year | 2563 |
| Journal Title | International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies |
| Journal Vol. | 11 |
| Journal No. | 1 |
| Page no. | 11A01G: 1-14 |
| Keyword | Periodical Analysis, Degree of Concordance, Kendall's Tau Approach, Mean-Variance Analysis, NND-Pattern. |
| URL Website | http://TuEngr.com/Vol11_1.html |
| Website title | ITJEMAST V11(1) 2020 |
| ISSN | 2228-9860 |
| Abstract | The first objective of our paper is to formulate a framework of selective performance measures under three groups based on distinct risk levels (Caporin et al., 2014). The second objective is to incorporate the time effects e.g., length of the sampling period, distinct risk classes of mutual funds, etc. and identify if the choice of performance measures is irrelevant proposed earlier (e.g., Eling (2008), Eling & Schuhmacher (2007), Schuhmacher & Eling (2012)). The mean-variance analysis approach and Kendall's tau rank order correlation approach has been deployed across the length of the sample over four distinct time periods to confirm the degree of concordance among Sharpe ratio and alternative performance measures. On the generalized basis the significant indifferent results do exist among the selective half of the alternative performance measures in relation to assessing the abnormal distributed return pattern. |
