 Stability in mutual fund performance rankings: A new proposalPilar Grau-Carles, Luis Miguel Doncel and Jorge Sainz () International Review of Economics & Finance, 2019, vol. 61, issue C, 337-346 Abstract: Market investors use financial performance measures to determine, often ex post, fund managers' investment ability and identify the fund managers who are best suited to managing their investments. The Sharpe ratio is the principal financial performance measure, although it has certain weaknesses. To correct for the Sharpe ratio's shortcomings, researchers and practitioners have developed alternative measures. This study investigated the most widely used performance measures. Their results were evaluated by ranking different investments. The analysis showed that the choice of measure affects the ranking of investments. The paper presents a new method that provides a stable ranking based on the notion of stability selection. This method was applied to daily prices of UK investment funds. The method enables identification of the top stable funds. The final ranking can help investors evaluate fund managers' ability using a combination of performance measures. Keywords: Stability; Mutual fund performance; Rankings (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:61:y:2019:i:c:p:337-346 DOI: 10.1016/j.iref.2018.01.018 Access Statistics for this article International Review of Economics & Finance is currently edited by H. Beladi and C. Chen More articles in International Review of Economics & Finance from Elsevier |
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