Record Details

A Comparison of Ranking Criteria: an Application to Asset Class Indices of Europe, US, Russia and China

Journal Transition Studies Review

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Field Value
 
Title A Comparison of Ranking Criteria: an Application to Asset Class Indices of Europe, US, Russia and China
 
Creator Stucchi, Patrizia
Spangaro, Alice
 
Subject —
Performance measures; Sharpe ratio; Asset class ranking; Skewness;Kurtosis
G32 - F3
 
Description The main purpose of this work is the ex post comparison of the performances of three macro asset class indices for Europe, United States, Russia and China during the period 2003-2015. The analysis is based on six different ranking criteria, starting with the well-known Sharpe index and its VaR and CVaR modifications, then considering the Omega and Sortino ratios which employ higher partial moments, and at last the Rachev ratio which changes the profitability index. All the previous performance indices give substantially the same ranking; they all show supremacy of Chinese fixed income and both European and American real estate in the years 2003-2008; they indicate US and European stock indices as the worst performers in 2008, and American, Russian and Chinese fixed income indices from 2012 to 2015 again as the worst performers. A visual display of the six different rankings is also provided, highlighting the adequacy of the Sharpe ratio against its more refined alternatives. 
 
Publisher Journal Transition Studies Review
 
Contributor —
 
Date 2016-06-24
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://transitionacademiapress.org/jtsr/article/view/114
10.14665/1614-4007-23-1-001
 
Source Journal Transition Studies Review; Vol 23, No 1 (2016); 3-10
1614-4015
1614-4007
 
Language eng
 
Relation http://transitionacademiapress.org/jtsr/article/view/114/72
 
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