Computation of the marginal contribution of Sharpe ratio and other performance ratios

This chapter discusses the main distinguishing features of two liberal traditions—classical liberalism and what I call “the high liberal tradition”—and their respective positions regarding capitalism as an economic and social system. It also compares the two traditions’ different positions regarding equality of opportunity and the distributive role of markets in establishing economic justice. I critically assess the classical liberal principle that economic agents deserve to be rewarded according to their marginal contribution to economic product. The chapter concludes with some reflections upon the essential role that dissimilar conceptions of persons and society play in grounding the different positions on economic justice that classical and high liberals advocate.

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Risk-Managed Momentum: An Evidence from Indian Stock Market

FIIB Business Review ◽

10.1177/23197145211023001 ◽

2021 ◽

pp. 231971452110230

Author(s):

Simarjeet Singh ◽

Nidhi Walia ◽

Pradiptarathi Panda ◽

Sanjay Gupta

Keyword(s):

Stock Market ◽

Asset Management ◽

Stock Exchange ◽

Sharpe Ratio ◽

Relative Momentum ◽

Extended Time ◽

Momentum Strategies ◽

Momentum Profits ◽

Indian Stock Market ◽

Time Frames

Relative momentum strategies yield large and substantial profits in the Indian Stock Market. Nevertheless, relative momentum profits are negatively skewed and prone to occasional severe losses. By taking into consideration 450 stocks listed on the Bombay Stock Exchange, the present study predicts the timing of these huge momentum losses and proposes a simple risk-managed momentum approach to avoid these losses. The proposed risk-managed momentum approach not only doubles the adjusted Sharpe ratio but also results in significant improvements in downside risks. In contrast to relative momentum payoffs, risk-managed momentum payoffs remain substantial even in extended time frames. The study’s findings are particularly relevant for asset management companies, fund houses and financial academicians working in the area of asset anomalies.

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Choosing Factors for the Vietnamese Stock Market

Journal of Risk and Financial Management ◽

10.3390/jrfm14030096 ◽

2021 ◽

Vol 14 (3) ◽

pp. 96

Author(s):

Nina Ryan ◽

Xinfeng Ruan ◽

Jin E. Zhang ◽

Jing A. Zhang

Keyword(s):

Stock Returns ◽

Factor Model ◽

Five Factor Model ◽

Explanatory Power ◽

Factor Models ◽

Marginal Contribution ◽

Return On Equity ◽

Factor Modeling ◽

Three Factor ◽

Better Than

In this paper, we test the applicability of different Fama–French (FF) factor models in Vietnam, we investigate the value factor redundancy and examine the choice of the profitability factor. Our empirical evidence shows that the FF five-factor model has more explanatory power than the FF three-factor model. The value factor remains important after the inclusion of profitability and investment factors. Operating profitability performs better than cash and return-on-equity (ROE) profitability as a proxy for the profitability factor in FF factor modeling. The value factor and operating profitability have the biggest marginal contribution to a maximum squared Sharpe ratio for the five-factor model factors, highlighting the value factor (HML) non-redundancy in describing stock returns in Vietnam.

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