Since Markowitz (1958) and Sharpe (1966), the increasing number of criteria and performance indicators made mutual … classify mutual funds based on their statistical properties. This study focuses on 15 indicators of performance relative to 210 … periods (short-term, medium and long term) and those three dimensions on the performance analysis and mutual funds ranking …

A number of techniques have been proposed to measure portfolio performance and to distinguish between performance due … to forecasting security-specific returns and performance due to forecasting market-wide events. We show theoretically and …

We show the number of stocks contributing to the overall performance of an actively managed mutual fund is related to … the persistency of the fund performance. Among the funds that have similar risk-adjusted returns, the funds that rely on a …

This paper introduces new money-weighted metrics for investment performance analysis, based on arithmetic means of …'s or portfolio's performance and a fund manager's performance. It also enables to show that the Internal Rate of Return …

This paper examines the appropriate measure of performance for real estate mutual funds. Several popular performance …. This research aims to explore the consistency of the risk-adjusted performance between the Sharpe index, the Treynor index … which measure of risk-adjusted returns may be a better indicator of overall performance based on ex-post data. The data …

This paper investigates the impact of using different risk-adjusted measures of performance on the evaluation of UK … under analysis. Performance results based on the Sharpe Ratio and several downside risk-adjusted performance measures (the … between different performance measures. The Pearson correlation coefficient is applied in the context of the parametric …

The portfolio performance evaluation involves the determination of how a managed portfolio has performed relative to … some comparison benchmark. Performance evaluation methods generally fall into two categories, namely conventional and risk …

performance of funds of hedge funds that diversify across managers (but stay within a single hedge fund strategy) versus those …

investments in the original, unmanaged portfolios. This poor out-of-sample performance for volatility-managed portfolios stems …