Empirical analysis of performance for investment fund through Sharpe ratio and decay rate
Qi Wu · Guanli kexue xuebao · 2003
This paper discusses the performance of China's investment funds through the Sharpe ratio which is the most widely used measure. Concerning about the Sharpe ratio inadequacies, this empirical analysis is conducted by employing the decay rate firstly put forward by Stutzer(2000). With the decay rate and the Sharpe ratio, the performance is the same when the returns are normally distributed, the performance is rectified by skewness and kurtosis when the returns are not normally distributed. Furthermore, the ranking of the performance based on the decay rate parameters θ is proven to be effective.