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Investment performance of canadian real estate stocks using sharpe's performance index
Author(s) -
Achour Dominique,
Brown Robert,
Roy Yvon
Publication year - 1984
Publication title -
managerial and decision economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.288
H-Index - 51
eISSN - 1099-1468
pISSN - 0143-6570
DOI - 10.1002/mde.4090050309
Subject(s) - treynor ratio , sharpe ratio , portfolio , null hypothesis , econometrics , real estate , index (typography) , investment performance , economics , investment (military) , financial economics , actuarial science , estate , finance , computer science , microeconomics , return on investment , political science , production (economics) , politics , world wide web , law
The investment performance of a Canadian portfolio of Canadian public real estate companies is analyzed over the period 1971–79. Using Sharpe's index of performance, it would appear at first sight that this portfolio exhibited remarkable superior performance. Moreover, this conclusion is not due to some peculiarity of the Sharpe measure: results using Treynor's measure suggest a similar conclusion. We then apply the significance tests recently recommended by Jobson and Korkie (1981). When their preferred test is applied, we are unable to reject the null hypothesis that the real estate portfolio did not exhibit superior investment performance. This result illustrates the necessity of performing adequate statistical significance tests whenever investment performance is being evaluated.