On the Application of Universal Performance Criteria : Case of Korea Stock market index : On the Application of Universal Performance Criteria : Case of Korea Stock market index
- 발행기관 서강대학교 국제대학원
- 지도교수 임준환
- 발행년도 2005
- 학위수여년월 200502
- 학위명 석사
- 학과 및 전공 국제대학원
- 식별자(기타) 000000081198
- 본문언어 영어
목차
The aim of this paper is to review and apply Omega function and Sortino function as alternative investment performance measures different from Sharpe ratio, a traditional performance measure using Korea stock market indices, KOSPI and KOSPI200. When distributions are symmetric and the classical mean-variance capital asset pricing model is valid, investment performance measures can be extracted directly from the model. However, when returns are asymmetric and mean-variance rules are no longer efficient, the measures based on the mean-variance capital asset pricing model don’t capture the essential features of the distribution, such as skewness and kurtosis.
The asymmetry of the actual empirical data shows that KOSPI is a more preferable index than that of KOSPI200 by means of Omega and Sortino function sensitive to the reference level. The Sharpe ration, however, indicates that KOSPI is absolutely more preferable to KOSPI200 regardless of reference levels.
Surprisingly, KOSPI and KOSPI 200 show very little difference in Omega function and Sortino function, the latter measurement of which is usually considered more sensitive to reference levels than that of Omega function. Therefore, either of two indices can be chosen as a good benchmark that investors may consider in terms of investment strategies.
