Performance Measurement in a Downside Risk Framework

1994 ◽  
Vol 3 (3) ◽  
pp. 59-64 ◽  
Author(s):  
Frank A. Sortino ◽  
Lee N. Price
Keyword(s):  
Performance Measurement ◽  
Downside Risk ◽  
Risk Framework

scholarly journals Downside CAPM: The case of South Africa

2017 ◽  
Vol 9 (2) ◽  
pp. 578-608
Author(s):  
Kwasi Okyere-Boakye ◽  
Brandon O’Malley
Keyword(s):  
Asset Pricing ◽  
Risk Measures ◽  
Downside Risk ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Risk Framework ◽  
Measures Of Risk

Beta and the capital asset pricing model have traditionally been the preferred measures of risk. However, there is growing literature against the use of the capital asset pricing model to determine the cost of equity in markets, such as emerging markets, where investors display mean-semivariance behaviour and, where share returns are non-normal and asymmetric. Downside risk measures such as semideviation, downside beta and the downside capital asset pricing model have been found to be plausible alternate measures of risk. This study investigates empirically the relationship between risk and return in a downside risk framework and a regular risk framework using returns on companies listed on the JSE Securities Exchange. The empirical evidence from this study indicates that while downside beta and semideviation significantly explain the variation in returns, they do not support them as being more appropriate measures of risk over beta and standard deviation.

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