Monday, April 6, 2015

Sharp Index compares the additional yield achieved by the fund, than the return on a risk-free asse

Home Reviews and Tips Terms FAQ surfers tollens calculation method User Guide About Contact Investment Portfolio Categories
In early January 2008, published by the - THE MARKER the results of its annual ranking of mutual funds. The rating tollens is based mainly on the calculation tollens of sample alpha index funds. Alpha index is also used to rank provident funds and advanced training site Funds - Net of Treasury. tollens At the same time, the site INBEST we publish ratings of mutual funds, education funds and provident funds, index-based tollens Sharp.
Sharp Index compares the additional yield achieved by the fund, than the return on a risk-free asset, the risk that the fund has taken on. High value of the index means that the fund Sharp has managed to increase its yield without tollens a concomitant increase in risk. INBEST index ranks mutual funds by comparing the index fund's Sharpe Sharpe index of the comparative index (for example: index "A 100 will be used as a measure of comparison to the fund invests in stocks of the index" A 100).
The market's risk premium - the difference between the yield of the stock market risk-free return. tollens This additional yield required tollens by "the investors to compensate tollens them for the risk in investing in stocks. tollens When a mutual fund rate, the relevant market return is the return on the fund's comparative index. One such index fund that invests in the '100 A of the market risk premium is calculated as the difference between The return of the index "a risk-free yield 100.
In the table below we compared the rating shown in - MARKER, based on alpha index, ranking is based on the index INBEST. The assessment tollens relates to a three-year period - 2005 (2007) and only those funds that were active during tollens the entire period. Alpha index data are taken from advertising in - MARKER; Index data INBEST taken from the site and refer to the index for a period of 36 months (can be found in the index to - 36 months of each fund screen individual Her - Here is a link for example the screen of the Rothschild Foundation of "A 100). No, we compared the ranking tollens of funds abroad" to Since MARKER used as a measure tollens of comparison, global stock index to rank funds that invest in various geographical regions. Index INBEST, however, compares each fund index comparison is relevant to it (for example, a fund that invests in the United States tollens "in compared to the index SP500). It should be noted, in an article in - MARKER, objected reporter ranking of funds abroad" tollens to writing there is a lack of congruence between funds ranked comparative index.
Rating according to "the alpha index compares the measured radiation general share index of the Stock Exchange" with, as expected INBEST index uses complex equations than - 50% of the index "A 100 and - 50% Mid Cap 120. Nevertheless the results of the two indices almost the same. From the measured radiation 9, to - 7 was fully adapted measures (positive alpha index INBEST index greater than - 100).
This comparison is about funds that invest in the indices of real "estate and others surprised us, especially since the rest of the stock indices was almost full correspondence between the index alpha index INBEST. In view of this, we decided to make the calculation of own index alpha to test the data presented by THE MARKER. To do this, we calculated the index alpha two index funds that invest in other things (island. me. Ai Tamir Fishman), and two funds that invest in the index of "A 100 (Rothschild and Excellence).
With the index of other things on our calculation results overturned the results of MARKER, two indices were calculated tollens are positive and significantly higher value than zero. Our calculation results are consistent with the alpha indices of indices INBEST values are higher than - 100.
In fact no matter which measure you use, because the two measures give almost identical results. To illustrate this we present the following table and alpha indices - INBEST tollens two funds. Each fund, we calculated the indices INBEST tollens according to "be measured and expressed its range of possible data index alpha (see explanation tollens of the confidence interval for alpha index file appendices - Appendix C).
Want to get reviews and tips of INBEST regularly? Leave your details and enter our mailing tollens list. Do you have questions? tollens Want clarification about a specific topic? Contact Us. We are trying to bring you reviews and professional tips that will benefit you. Nevertheless reviews and tips do not constitute a recommendation for investment and subject to the terms of use INBEST.


No comments:

Post a Comment