Performance Evaluation of Malaysian Unit Trusts Using the Modified Sharpe Ratio
Recent studies on mutual funds have stated that the Sharpe ratio is an inappropriate performance measure as it penalizes upside and downside risk equally and assumes that return series are normally distributed which is rarely the case especially in emerging markets such as Malaysia. To mitigate the...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2008
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| Online Access: | https://eprints.nottingham.ac.uk/24077/ |