Performance Analysis Based on Adequate Risk-Adjusted Performance Measures

  • Author / Creator
    Vyachkileva, Daria
  • The main purpose of this thesis is to explore different risk-adjusted ratios, add correlation into account and see which one of them accommodates for risk the best way. In finance it is well-known that investors can not rely on pure return. Some fund managers can produce high return but at the same time they can be exposed to a very high risk. Therefore, it is important to adjust for risk and compare fund/managers based on a risk-adjusted return.

    Also, this thesis applies popular risk-adjusted measures to mergers and acquisitions(M&A). In order to deal with correlation in M&A, we use Dowd's (2000) approach and calculate the same measures for the acquiring company before the acquisition and assuming that the company acquired the target few years ago. Therefore, we include correlation in all measures and we can compare the same measures for the company and see if it increased or decreased. Detailed calculations will be presented in this thesis.

    There are many risk-adjusted measures because investors can not agree how we need to define risk. In this thesis we will give different definitions of risk and demonstrate the advantages and disadvantages of each. Our methods of study and outcomes are illustrated by numerical examples on the real financial data.

  • Subjects / Keywords
  • Graduation date
    Fall 2018
  • Type of Item
  • Degree
    Master of Science
  • DOI
  • License
    Permission is hereby granted to the University of Alberta Libraries to reproduce single copies of this thesis and to lend or sell such copies for private, scholarly or scientific research purposes only. Where the thesis is converted to, or otherwise made available in digital form, the University of Alberta will advise potential users of the thesis of these terms. The author reserves all other publication and other rights in association with the copyright in the thesis and, except as herein before provided, neither the thesis nor any substantial portion thereof may be printed or otherwise reproduced in any material form whatsoever without the author's prior written permission.