Risk-Adjusted Performance (RAP)

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Table of contents

1 Introduction
1.1 Background
1.2 Problem
1.3 Purpose
2 Frame of Reference
2.1 Risk and Return
2.1.1 Modern Portfolio Theory
2.1.2 CAPM
2.1.3 Beta
2.1.4 Jensen´s Alpha
2.1.5 Sharpe Ratio
2.1.6 Risk-Adjusted Performance (RAP)
2.2 Efficient Market Hypothesis
3 Method
3.1 Research Approach
3.2 Selection of Fund Market
3.2.1 Laws & Regulations
3.3 Index as a Benchmark
3.4 Selection of Funds
3.5 Fund Categories
3.6 Selection of Time Span
3.7 Data Collection
3.8 Performance Measurements – Return
3.8.1 Security Market Line
3.8.2 Risk Adjustments
3.9 Risk-Free Rate of Return
3.10 Hypothesis testing
4 Results
4.1 Accumulated Return
4.1.1 Significance test – Accumulated Return
4.2 Standard Deviation
4.2.1 Significance test – Standard Deviation
4.3 Sharpe Ratio
4.3.1 Significance Test – Sharpe Ratio
4.4 RAP – Risk Adjusted Performance
4.4.1 Significance Test – Risk Adjusted Performance
4.5 Jensen´s Alpha
4.5.1 Significance Test – Jensen’s Alpha
4.6 Beta
4.6.1 Significance Test – Beta
4.7 T-test Summary
4.8 Performance 2007-2009
4.9 Security Market Line
5 Analysis
6 Conclusions
7 Suggestions for Further Research
References
Appendices