Use Typical Adjusted and Revised Sharp Ratio In Evaluating Performance of the Investment

Abstract

The research aims to evaluate the investment savings account performance of insurance companies in terms of risk-return balance. To achieve this goal, data from the National Public Insurance Company and the Iraqi Insurance Company, which are both major players in the Iraqi insurance market and have diversified investment savings accounts, were used for the period from 2010 to 2019. A widely used Sharpe model, along with its evolution, was employed using the adjusted Sharpe ratio and Revised Sharpe ratio models to determine the feasibility of using the models to evaluate the investment savings account based on risk-return balance. The study's results showed that the adjusted and Revised Sharpe model provides better ranking than the traditional Sharpe model, with the adjusted Sharpe ratio (ASR) remaining the best, taking into account the unnatural distribution of returns and using measures such as Skewness and kurtosis in the model.