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

Since Markowitz (1958) and Sharpe (1966), the increasing number of criteria and performance indicators made mutual funds analysis more complex and sometimes risky. In this study we propose to identify the most relevant indicators to classify mutual funds based on their statistical properties. This study focuses on 15 indicators of performance relative to 210 equity mutual funds and calculated monthly on three sub periods 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 ratio, but also highlights the importance of global and integrated approach based both on different calculation periods (short-term, medium and long term) and those three dimensions on the performance analysis and mutual funds ranking (skill of the manager, market exposure and relative performance, respectively)