TRABALHOS DE FIM DE CURSO @PUC-Rio
| Título: | PERFORMANCE EVALUATION OF INVESTMENT FUNDS TO FOCUS ON OMEGA MEASURE | ||||||||||||
| Autor(es): |
RAFAEL RODITI LACHTER |
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| Colaborador(es): |
MARCELO CABUS KLOTZLE - Orientador |
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| Catalogação: | 23/DEZ/2016 | Língua(s): | PORTUGUESE - BRAZIL |
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| Tipo: | TEXT | Subtipo: | SENIOR PROJECT | ||||||||||
| Notas: |
[pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio. [en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio. |
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| Referência(s): |
[pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/TFCs/consultas/conteudo.php?strSecao=resultado&nrSeq=28522@1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/TFCs/consultas/conteudo.php?strSecao=resultado&nrSeq=28522@2 |
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| DOI: | https://doi.org/10.17771/PUCRio.acad.28522 | ||||||||||||
| Resumo: | |||||||||||||
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The range available in the financial market for investment fund investment is vast. With that, for investors to know where they are applying, and how risk is taking, several performance measures have been proposed. The main measure used to evaluate the performance of the funds is the Sharpe Ratio. However, this measure necessitates the assumption that the distribution of returns to be normal. To fill this gap, Keating and Shadwick (2002) proposed a new measure called Omega, which seeks to recognize all the moments of the distribution of return, not entering premises. The main objective of this paper is to analyze the efficiency of Omega Measure, regarding the risk / return of funds, comparing it with the Sharpe Ratio.
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