Risk-Adjusted Performance Measures and Implied Risk-Attitudes

Groot, Sebastiaan de; Plantinga, Auke

doi:10.2139/ssrn.289193

Cited by 17 publications

(22 citation statements)

References 12 publications

(7 reference statements)

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“…Several studies in literature show the goodness of these measures in order to select the best investment opportunities (Plantinga andde Groot, 2001, Giannotti andMattarocci, 2010 ) and they are widely used to rank real estate mutual funds.…”

Section: The Impact Of Real Estate Portfolio Composition Choices On Fmentioning

confidence: 99%

The incidence of real estate portfolio composition choices on funds performance: Evicence from the Italian market

Gigante¹,

Montllor-Serrats²,

Mattarocci³

2012

Proceedings of the 19th Annual European Real Estate Society Conference - Edinburgh, Scotland

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In the economic and financial scenario Italian real estate funds industry continues its growth. This paper aims to investigate the investment policies and portfolio composition choices of Italian real estate funds, analyzing the impact on performance measured through the Sharpe ratio. The results show how real estate portfolio composition choices impact on the fund performance. The Sharpe ratio is influenced by age and fund setup typology. Furthermore, the study shows how the investment in "financial instruments" affects the fund performance.

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Section: The Impact Of Real Estate Portfolio Composition Choices On Fmentioning

confidence: 99%

The incidence of real estate portfolio composition choices on funds performance: Evicence from the Italian market

Gigante¹,

Montllor-Serrats²,

Mattarocci³

2012

Proceedings of the 19th Annual European Real Estate Society Conference - Edinburgh, Scotland

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show abstract

“…Several studies in literature show the goodness of these measures in order to select the best investment opportunities (Plantinga andde Groot, 2001, Giannotti and.…”

Section: Real Estate Funds Performancementioning

confidence: 99%

“…In particular, traditional RAP measures, such as the Sharpe ratio, the Treynor ratio or Jensen's Alpha, based on the mean-variance framework, are widely used to rank mutual funds (Plantinga and de Groot, 2001, Grau-Carles et al, 2009, Bacon , 2010.…”

mentioning

confidence: 99%

“…Literature offers several empirical analysis concerning the comparison of performance measures, in particular among this latter and other alternative measures, as those proposed by Scholz and Wilkens 2005, Plantinga and de Groot, 2001, Eling 2008, Grau-Carles et al, 2009. Scholz and Wilkens (2005, present a system of basic risk-adjusted performance measures in order to understand the key differences between these performance measures and to clarify the links between them.…”

mentioning

confidence: 99%

“…Their work also contains a study on the "market riskadjusted performance" (MRAP) which measures the market risk-adjusted performance of funds in terms of basis points. Plantinga and de Groot (2001), started from the assumption that RAP measures can be motivated by assuming that investors are risk adverse and need to be compensated for being exposed to risk, conducted an analysis on a sample of 253 U.S. mutual funds returns from Datastream in order to find the implicit risk preferences using risk-adjusted performance measures. The study revealed that each RAP measure can be associated with a different level of risk aversion; the Sharpe ratio, the Sharpe's alpha and the expected return measure correspond to the preferences of investors with a low degree of risk aversion, while the other measures such as the Sortino ratio, the Fouse index and the upside potential ratio correspond to the preferences of investors with intermediate and high degrees of risk aversion .…”

mentioning

confidence: 99%

See 2 more Smart Citations

The impact of real estate portfolio composition on the Italian real estate funds performance

Gigante¹,

Farrelly²

2011

Proceedings of the 18th Annual European Real Estate Society Conference - Eindhoven, the Netherlands

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Dealing with Bad Risk in Cost-Effectiveness Analysis: The Cost-Effectiveness Risk-Aversion Curve

Sendi

2020

PharmacoEconomics

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Cost-effectiveness analysis has been advocated and is widely used to inform policy and decision makers in setting priorities for resource allocation. Since the costs and effects of health care interventions are uncertain, much research interest has focused on handling uncertainty in cost-effectiveness analysis. The most widely used method to summarize uncertainty in cost-effectiveness analysis is the cost-effectiveness acceptability curve, which estimates the probability that an intervention is cost effective for a wide range of threshold ratios. However, by estimating the uncertainty associated with incremental costs and effects, information about the uncertainty associated with the costs and effects of the individual programs is lost, which may be important to inform risk-averse decision makers. In the present paper, we suggest to penalize the expected net monetary benefit (NMB) of a program for its downside risk (i.e. bad risk), which preserves the uncertainty of the individual programs and rank orders programs according to their risk-adjusted NMB. The cost-effectiveness risk-aversion curve (CERAC) is introduced, which estimates the net benefit-to-risk ratio for a wide range of threshold rations. The CERAC is a helpful additional tool to inform decision and policy makers who are risk averse, and can easily be constructed using the results of a cost-effectiveness analysis.

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Risk-Adjusted Performance Measures and Implied Risk-Attitudes

Cited by 17 publications

References 12 publications

The incidence of real estate portfolio composition choices on funds performance: Evicence from the Italian market

The incidence of real estate portfolio composition choices on funds performance: Evicence from the Italian market

The impact of real estate portfolio composition on the Italian real estate funds performance

Dealing with Bad Risk in Cost-Effectiveness Analysis: The Cost-Effectiveness Risk-Aversion Curve

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