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Mutual Funds Performance Assessment Techniques: Comparative Analysis

Author

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  • Anna E. Olkova

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA), Moscow 119571, Russia)

Abstract

The article examines existing approaches to assessing mutual funds portfolio performance. The author considers major advantages and drawbacks of diverse upside potential and risk measures, as well as the most commonly used portfolio efficiency metrics. Empirical evidence of 12 most popular performance measures on a base of 255 Russian mutual funds sample is provided. Moreover, the author demonstrates that semi-variance and alpha-based metrics yield rankings that differ essentially from those provided by volatility-based, VaR-based and other metrics. Finally, the article discusses the rationale for different performance measures use.

Suggested Citation

  • Anna E. Olkova, 2017. "Mutual Funds Performance Assessment Techniques: Comparative Analysis," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 85-95, June.
    • Handle: RePEc:fru:finjrn:170307:p:85-95
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    mutual funds; portfolio management; performance measurement; risk measurement; Sharpe ratio; Sortino ratio; downside risk measures;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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