Dataset for: Downside performance measures and the Sharpe ratio

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dc.contributor.authorHoechner, Benedikt
dc.contributor.authorReichling, Peter
dc.contributor.authorSchulze, Gordon
dc.date.accessioned2020-02-19T13:06:33Z
dc.date.available2020-02-19T13:06:33Z
dc.date.createdJanuar 2000 - Mai 2019
dc.date.issued2020
dc.descriptionEs handelt sich um fünf Dateien:de_DE
dc.description• Die drei CSV-Dateien beinhalten die Daten, mit denen die Simulation sowie die empirische Studie durchgeführt wurden.
dc.description• Die beiden Text-Dateien beinhalten das Matlab-Skript, mit welchem die Daten analysiert wurden.
dc.description.abstractln a mean-downside risk framework, portfolio lines that combine the market portfolio and the risk-free asset, i.e ., passive benchmark strategies, are non-linear if the target differs from the risk-free rate. ln this regard, downside risk-based performance measures assign different performance Ievels to passive strategies depending on the composition of the passive portfolio. The same applies for the evaluation of mutual funds. Therefore, we analyze the shape of portfolio lines for arbitrary targets above the risk-free rate in detail. We show that these portfolio lines can be characterized by the Kappa ratio with a target equal to the risk-free rate and, surprisingly, the Sharpe ratio. ln addition, we show that minimum-downside risk portfolios with varying target can be positioned on a straight line. This allows us to apply target-independent performance measures even if portfolio lines depend on the target set by the investor. We substantiate our analytical results with an empirical study.de_DE
dc.format.txt. / .csv
dc.identifier.urihttp://open-science.ub.ovgu.de/xmlui/handle/684882692/56
dc.identifier.urihttps://doi.org/10.24352/UB.OVGU-2020-072
dc.language.isoende_DE
dc.publisherOtto-von-Guericke Universität Magdeburg
dc.relation.ispartofhttp://dx.doi.org/10.2139/ssrn.3459524
dc.rights.urihttps://creativecommons.org/licenses/by-sa/4.0/
dc.subjectDownside riskde_DE
dc.subjectKappa ratiode_DE
dc.subjectLower partial momentsde_DE
dc.subjectRisk-adjusted performance measurementde_DE
dc.subjectSharpe ratiode_DE
dc.titleDataset for: Downside performance measures and the Sharpe ratiode_DE
dc.typeDatasetde_DE

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