I fondi comuni italiani: quale metrica per quale performance?

Daniela Venanzi

Rivista di Politica Economica, 2013, issue 3, 81-113

Abstract: The Italian mutual fund industry is in a severe crisis. Its net assets have been decreasing since 1999, from 42% of GDP to 8% in 2011; an investment in mutual funds has accumulated in its 28-year life a loss larger than the initial asset value, if compared to an investment in one-year treasury bonds. However, there is a debate about the metrics to be used for measuring returns. We simulate the dynamics of returns and cash-flows in the period 2003-2010, and analyze the spread among different metrics, arguing on their appropriateness for evaluating performance from different perspectives.

Keywords: mutual fund performance; spread between moneyweighted and time-weighted returns; characteristics of the Italian mutual fund industry (search for similar items in EconPapers)
JEL-codes: G11 G21 G23 G28 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:rpo:ripoec:y:2013:i:3:p:81-113

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