{"title":"A Comparison of Ranking Criteria: an Application to Asset Class Indices of Europe, US, Russia and China","authors":"P. Stucchi, Alice Spangaro","doi":"10.14665/1614-4007-23-1-001","DOIUrl":null,"url":null,"abstract":"The main purpose of this work is the ex post comparison of the performances of three macro asset class indices for Europe, United States, Russia and China during the period 2003-2015. The analysis is based on six different ranking criteria, starting with the well-known Sharpe index and its VaR and CVaR modifications, then considering the Omega and Sortino ratios which employ higher partial moments, and at last the Rachev ratio which changes the profitability index. All the previous performance indices give substantially the same ranking; they all show supremacy of Chinese fixed income and both European and American real estate in the years 2003-2008; they indicate US and European stock indices as the worst performers in 2008, and American, Russian and Chinese fixed income indices from 2012 to 2015 again as the worst performers. A visual display of the six different rankings is also provided, highlighting the adequacy of the Sharpe ratio against its more refined alternatives.","PeriodicalId":56184,"journal":{"name":"Transition Studies Review","volume":"23 1","pages":"3-10"},"PeriodicalIF":0.0000,"publicationDate":"2016-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Transition Studies Review","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.14665/1614-4007-23-1-001","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Social Sciences","Score":null,"Total":0}
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Abstract
The main purpose of this work is the ex post comparison of the performances of three macro asset class indices for Europe, United States, Russia and China during the period 2003-2015. The analysis is based on six different ranking criteria, starting with the well-known Sharpe index and its VaR and CVaR modifications, then considering the Omega and Sortino ratios which employ higher partial moments, and at last the Rachev ratio which changes the profitability index. All the previous performance indices give substantially the same ranking; they all show supremacy of Chinese fixed income and both European and American real estate in the years 2003-2008; they indicate US and European stock indices as the worst performers in 2008, and American, Russian and Chinese fixed income indices from 2012 to 2015 again as the worst performers. A visual display of the six different rankings is also provided, highlighting the adequacy of the Sharpe ratio against its more refined alternatives.
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CEEUN-Transition Studies World Applied Research, involving now more than 500 internationally well known members and 95 university departments, institutes and research centres, is engaged in many areas and programs. The scientific interests and fields are covering: Europe and the World, EU enlargement future approach, the European and international economic framework and impact, where it focuses especially on investments, foreign trade, finance, banking, research, innovation and technology, human capital, development, social policies, insurance, international relations and security, monetary policy, environment and climate, culture and society, juridical and law studies, with a regional approach to the issues, peculiarities and critical challenges.
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