A Statistical Analysis of Mutual Fund Performance Measures: The Relevance of IRs, Betas, and Sharpe Ratios

Hery Razafitombo ()
Additional contact information
Hery Razafitombo: CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine

Post-Print from HAL

Abstract: Since Markowitz [1958] and Sharpe [1966], the increasing number of criteria and performance indicators have made mutual fund analysis more complex and sometimes risky. In this study, the author attempts to identify the most relevant indicators for classifying mutual funds based on their statistical properties. This study focuses on 15 indicators of performance relative to 210 equity mutual funds calculated monthly on three subperiods between 2000 and 2006. A comparison of statistical distributions, correlations, and a principal component analysis has not only confirmed the relevance of information ratios, betas, and Sharpe ratios, but also highlights the importance of a globally integrated approach based both on different calculation periods (short term, medium, and long term) and three dimensions on the performance analysis and mutual fund rankings (manager skill, market exposure, and relative performance).

Date: 2010-08-31
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published in The Journal of Index Investing, 2010, 1 (2), pp.89-106. ⟨10.3905/jii.2010.1.2.089⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:hal-03553215

DOI: 10.3905/jii.2010.1.2.089

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().