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Mutual Funds Performance Assessment Techniques: Comparative Analysis

Anna E. Olkova ()
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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
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Finansovyj žhurnal — Financial Journal is currently edited by Vladimir S. Nazarov

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Handle: RePEc:fru:finjrn:170307:p:85-95