Risk-adjusted performance of mutual funds
Mutual funds are now the preferred way for individual investors and many institutions to participate in capital markets, and their popularity has increased demand for evaluations of fund performance. Many business publications now rank mutual funds according to their performance, and information services exist specifically for this purpose. There is no general agreement, however, about how best to measure and compare fund performance and on what information funds should disclose to investors. ; Risk and performance measurement is an active area for academic research and continues to be of vital interest to investors who need to make informed decisions and to mutual fund managers whose compensation is tied to performance. This article describes a number of performance measures. Their common feature is that they all measure funds' returns relative to risk, However, they differ in how they define and measure risk and, consequently, in how they define risk-adjusted performance. The author also compares rankings of a large sample of funds using two popular measures for both stock and bond funds during the three-year period between 1995-1997.
Volume (Year): (1998)
Issue (Month): Sep ()
|Contact details of provider:|| Postal: 600 Atlantic Avenue, Boston, Massachusetts 02210|
Web page: http://www.bos.frb.org/
More information through EDIRC
|Order Information:|| Email: |
When requesting a correction, please mention this item's handle: RePEc:fip:fedbne:y:1998:i:sep:p:33-48. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Catherine Spozio)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.