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THE AUMANN-SERRANO PERFORMANCE INDEX OF DOW 30 COMPONENTS AND DOW JONES INDUSTRIAL AVERAGE BEFORE AND AFTER THE GLOBAL FINANCIAL CRISIS
Keywords:
performance measure, Aumann-Serrano performance index, Sharpe ratio, global financial crisis.DOI:
https://doi.org/10.17654/0972086324004Abstract
We apply the Aumann-Serrano performance index to DOW 30 components and Dow Jones Industrial Average before and after the global financial crisis. The evaluation of the Aumann-Serrano performance index is relevant for risk-averse investors who are more concerned with losses than gains and different from the industry-standard performance measure of the Sharpe ratio. We show how the performance of DOW 30 components and their index changes in three years after the global financial crisis and contrasts to that before the global financial crisis. In other words, we show what happened to the evaluation of DOW 30 components and their index each year after the global financial crisis. We obtain the results using daily return data with and without dividends.
Received: October 8, 2023
Accepted: November 25, 2023
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