Risk-Adjusted Performance of Mutual Funds: Some Tests

Timotej Jagric, Boris Podobnik, Sebastian Strasek and Vita Jagric
Additional contact information
Timotej Jagric: University of Maribor
Boris Podobnik: University of Rijeka
Sebastian Strasek: University of Maribor
Vita Jagric: University of Maribor

South-Eastern Europe Journal of Economics, 2007, vol. 5, issue 2, 233-244

Abstract: The development of a stock market depends to a great extent on the development of institutional investors. The paper studies the mutual fund industry and applies various tests to evaluate the performance capacity of mutual funds. First, we briefly explain the data, and then we introduce the performance measures used to evaluate funds. Finally, we calculate the performance measures of mutual funds and rank them according to the results. We find the rankings obtained by performing both the Sharpe and Treynor rules to be almost the same, implying that funds are well diversified. The rankings reveal that all analyzed funds outperformed the market on a risk-adjusted basis.

Keywords: Financial market; portfolio returns; risk measures; mutual funds (search for similar items in EconPapers)
JEL-codes: C14 G10 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:seb:journl:v:5:y:2007:i:2:p:233-244

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