Active versus passive management : the case of BOVESPA

Mestrado em Finanças

A note on trader Sharpe Ratios

Traders in the financial world are assessed by the amount of money they make and, increasingly, by the amount of money they make per unit of risk taken, a measure known as the Sharpe Ratio. Little is known about the average Sharpe Ratio among traders, but the Efficient Market Hypothesis suggests that traders, like asset managers, should not outperform the broad market. Here we report the findings of a study conducted in the City of London which shows that a population of experienced traders attain Sharpe Ratios significantly higher than the broad market. To explain this anomaly we examine a surrogate marker of prenatal androgen exposure, the second-to-fourth finger length ratio (2D:4D), which has previously been identified as predicting a trader's long term profitability. We find that it predicts the amount of risk taken by traders but not their Sharpe Ratios. We do, however, find that the traders' Sharpe Ratios increase markedly with the number of years they have traded, a result suggesting that learning plays a role in increasing the returns of traders. Our findings present anomalous data for the Efficient Markets Hypothesis.

Estudo comparativo dos modelos de Markowitz e Sharpe

A teoria da carteira de Harry Markowitz, originalmente publicada em 1952 no Journal of Finance, "Portfolio Selection", desenvolveu um método de solução geral do problema da estrutura das carteiras, que engloba o tratamento quantificado do risco. Propõe a determinação de um conjunto de carteiras eficientes empregando unicamente os conceitos de média para a rentabilidade que se espera obter e de variância (ou desvio padrão) para a incerteza associada a essa rentabilidade, e daí a denominação de média-variância à análise de Markowitz. Chamou também a atenção para a diversificação das carteiras, mostrando como um investidor pode reduzir o desvio padrão da rendibilidade da carteira através da escolha de acções cujas variações não sejam exactamente paralelas.

Wrestling Card - Mike Sharpe

The wrestler's name is Mike Sharpe and the number on the reverse is 142, the second card is stamped 704, the third is stamped 599, and the fourth is stamped 615. He was born in Hamilton, Ontario and was part of one of the most successful tag teams in history (with brother Ben Sharpe). Mike's son, Mike Jr. also had a successful career as a pro wrestler under the name Iron Mike Sharpe through the 1970s and 1980s. The honours include the Canadian Wrestling Hall of Fame.

Wrestling Card - Ben Sharpe

The wrestler's name is Ben Sharpe and the number stamped on the reverse of the first card is 341, the second is 219, and the third is 704. Ben Sharpe was born in Hamilton and part of one of the most successful wrestling tag tames in history (with brother Mike Sharpe). Ben was on the Canadian Olympic rowing team in 1936. Honours include the Canadian Wrestling Hall of Fame.

Fuzzy portfolio allocation models through a new risk measure and fuzzy sharpe ratio

A new portfolio risk measure that is the uncertainty of portfolio fuzzy return is introduced in this paper. Beyond the well-known Sharpe ratio (i.e., the reward-to-variability ratio) in modern portfolio theory, we initiate the so-called fuzzy Sharpe ratio in the fuzzy modeling context. In addition to the introduction of the new risk measure, we also put forward the reward-to-uncertainty ratio to assess the portfolio performance in fuzzy modeling. Corresponding to two approaches based on TM and TW fuzzy arithmetic, two portfolio optimization models are formulated in which the uncertainty of portfolio fuzzy returns is minimized, while the fuzzy Sharpe ratio is maximized. These models are solved by the fuzzy approach or by the genetic algorithm (GA). Solutions of the two proposed models are shown to be dominant in terms of portfolio return uncertainty compared with those of the conventional mean-variance optimization (MVO) model used prevalently in the financial literature. In terms of portfolio performance evaluated by the fuzzy Sharpe ratio and the reward-to-uncertainty ratio, the model using TW fuzzy arithmetic results in higher performance portfolios than those obtained by both the MVO and the fuzzy model, which employs TM fuzzy arithmetic. We also find that using the fuzzy approach for solving multiobjective problems appears to achieve more optimal solutions than using GA, although GA can offer a series of well-diversified portfolio solutions diagrammed in a Pareto frontier.

Inquérito para a expansão do comércio português no Brasil.

Mode of access: Internet.

Comércio exterior do Brasil. : Resumo por mercadorias.

The following bulletins were not issued: Jan.-Sept. 1917, Jan.-Sept. 1918, Jan.-Mar. 1919, Jan.-June 1919, Jan.-Sept. 1919.

Letters from and to Charles Kirkpatrick Sharpe.

Contains a number of letters from Sir Walter Scott.

Sharpe's London magazine of entertainment and instruction, for general reading.

Vols. 22-23 include illustrations by George Cruikshank.

Sharpe's London magazine of entertainment and instruction, for general reading.

Vols. 22-23 include illustrations by George Cruikshank.

The letters of Sir Walter Scott and Charles Kirkpatrick Sharpe to Robert Chambers, 1821-45 : with original memoranda of Sir Walter Scott /

Introduction signed: C.E.S. Chambers.