EconPapers    
Economics at your fingertips  
 

Mutual Funds Performance Assessment Techniques: Comparative Analysis

Anna E. Olkova ()
Additional contact information
Anna E. Olkova: Russian Presidential Academy of National Economy and Public Administration (RANEPA), Moscow 119571, Russia

Finansovyj žhurnal — Financial Journal, 2017, issue 3, 85-95

Abstract: The article examines existing approaches to assessing mutual funds portfolio performance. The author considers major advantages and drawbacks of diverse upside potential and risk measures, as well as the most commonly used portfolio efficiency metrics. Empirical evidence of 12 most popular performance measures on a base of 255 Russian mutual funds sample is provided. Moreover, the author demonstrates that semi-variance and alpha-based metrics yield rankings that differ essentially from those provided by volatility-based, VaR-based and other metrics. Finally, the article discusses the rationale for different performance measures use.

Keywords: mutual funds; portfolio management; performance measurement; risk measurement; Sharpe ratio; Sortino ratio; downside risk measures (search for similar items in EconPapers)
JEL-codes: C10 G11 G23 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.nifi.ru/images/FILES/Journal/Archive/2017/3/articles/fm_2017_3_07.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fru:finjrn:170307:p:85-95

Access Statistics for this article

Finansovyj žhurnal — Financial Journal is currently edited by Vladimir S. Nazarov

More articles in Finansovyj žhurnal — Financial Journal from Financial Research Institute, Moscow 127006, Russia Contact information at EDIRC.
Bibliographic data for series maintained by Gennady Ageev ().

 
Page updated 2020-02-19
Handle: RePEc:fru:finjrn:170307:p:85-95