Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen’s alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk...

Mutual fund managers' ability to generate continuous positive value in excess to a relevant benchmark index is a crucial aspect for its evaluation. Focusing on the German market, in this research we apply several simulation methods that avoid statistical problems related to multiple hypothesis...

Mutual fund managers' ability to generate continuous positive value in excess to a relevant benchmark index is a crucial aspect for its evaluation. Focusing on the German market, in this research we apply several simulation methods that avoid statistical problems related to multiple hypothesis...

Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen's alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk...