Redirigiendo al acceso original de articulo en 18 segundos...
ARTÍCULO
TITULO

Performance Measures: European Mutual Funds in 2001-2015

Xiaoyan Wu    
Vasco Salazar Soares    
Luís Dias Pacheco    
Fernando Oliveira Tavares    

Resumen

Mutual funds performance evaluation measures allow to establish rankings and play an essential role for investors who want to make investment decisions. The choice of suitable measure should take into account the risk preference of investors. This paper compares the different risk-adjusted measures, such Sharpe, MM, Treynor, Jensen, RORAC, information, Ivar, Sortino, UPR, Omega, Fouse and Alfa Sharpe indexes. The objectives of this study are to test the consistency between the measurements, to study the correlation between measures and the risk preferences and look for measures that simulate the Morningstar rating. To perform this study the data was obtained at Yahoo finance, with the sample consisting of 28 funds of European shares, from September 2001 to September 2015. It was concluded that the measures produce identical rankings, so there is a high correlation between them excluding RORAC and the Information indexes. This study shows that the classification of investment funds varies depending on whether or not the indicator assumes high income volatility. Sharpe and MM indexes showed greater explanatory power in relation to Morningstar rating and also have a high correlation with the quadratic utility function and the value function from prospect theory. The degree of correlation decreases as increases the risk aversion coefficient, with measures based on downside risk (Sortino ratio and omega) maintaining a good correlation with all preference levels, both in the overall period and in sub-periods.

 Artículos similares

       
 
Alexandra HOROBET,Georgiana VRINCEANU,Consuela POPESCU,Lucian BELASCU     Pág. 122 - 136
Our paper investigates the gaps in performance in the manufacturing sector between Western and Eastern European countries and attempts to analyze how enterprises from these two parts of Europe have tackled recovery after the Global financial crisis of 20... ver más

 
Luisa Marti,Rosa Puertas     Pág. 25 - 35
Nowadays, production chains may cross the borders of several continents in search of greater profitability. In order to more accurately calculate countries? foreign demand, value-added exports should be used rather than gross exports. This study takes th... ver más

 
Pablo Solórzano-Taborga, Ana Belén Alonso-Conde and Javier Rojo-Suárez    
Recent literature shows that market anomalies have significantly diminished, while research on market factors has largely improved the performance of asset pricing models. In this paper we study the extent to which data envelopment analysis (DEA) techniq... ver más

 
Ulrich Gunter, Irem Önder and Egon Smeral    
This study, which was contracted by the European Commission and is geared towards easy replicability by practitioners, compares the accuracy of individual and combined approaches to forecasting tourism demand for the total European Union. The evaluation ... ver más
Revista: Forecasting

 
Rahil Asadi     Pág. 38 - 49
Abstract. Nowadays, gaining competitive advantage depends on the organization?s capability to moving towards excellence and superiority in various dimensions. Creating competition with ethical principles means that, with scientific methods and strategic ... ver más