| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 107 === General Investors and Fund Managers often use Sharpe Ratio to measure performance of funds and stocks; however, some pitfalls implied in Sharpe Ratio. For instance, Sharpe Ratio does not meet the feature of Stochastic Dominance (SD), which causes bias when measuring performance of assets. Therefore, this paper utilizes a new performance measure Economic Performance Measure by substituting standard deviation in Sharpe Ratio with Riskiness Index in Aumann and Serrano (2008). This paper conducts empirical research to analyze data from 163 Taiwanese mutual funds and top 20 listed companies. This paper examines the correlation of three Index: 2 times square of Sharpe Ratio, EPM when normal distribution, and EPM, in order to provide a new measurement for investors’ investment choice.
The empirical results indicate that these three indices have strong correlations, no matter observing from value or rank of these three indices. Thus, little bias would occur when utilizing Sharpe Ratio to measure performance of Taiwanese mutual funds and large companies. Although JB normality test shows that almost all the assets are not normally distributed, the monthly return distribution of these assets is close to normal distribution, so the correlation of these three indices are extremely strong. Therefore, the result between using Sharpe Ratio and EPM is similar.
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