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Refinements to the Sharpe Ratio -- Evidence from Malaysian Equity Funds

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  • Soo-Wah Low
  • Yi-Bing Chin

Abstract

We apply M-squared measure to evaluate the performance of Malaysian equity funds. Specifically, we show how financial leverage can be applied to increase the returns or to reduce the risk exposures of funds. Several alternative refinements to the original Sharpe ratio are also employed to evaluate the funds during periods of negative excess returns. We find that modified versions of Sharpe measure generally lead to similar performance rankings as the original Sharpe ratio. Our findings imply that while Sharpe ratio has experienced several methodological improvements, its basic underlying concept remains remarkably intact.

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  • Soo-Wah Low & Yi-Bing Chin, 2013. "Refinements to the Sharpe Ratio -- Evidence from Malaysian Equity Funds," Global Economic Review, Taylor & Francis Journals, vol. 42(1), pages 72-97, March.
    • Handle: RePEc:taf:glecrv:v:42:y:2013:i:1:p:72-97
    DOI: 10.1080/1226508X.2013.769818
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    Cited by:

    1. Robiyanto Robiyanto & Rihfenti Ernayani & Rendi Susiswo Ismail, 2019. "Formulation Of A Dynamic Portfolio With Stocks And Fixed-Income Instruments In The Indonesian Capital Market," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 10(1).

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