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I fondi comuni italiani: quale metrica per quale performance?

Author

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  • Daniela Venanzi

    (Università degli Studi “Roma Tre” - Dipartimento di Economia)

Abstract

The Italian mutual fund industry is in a severe crisis. Its net assets have been decreasing since 1999, from 42% of GDP to 8% in 2011; an investment in mutual funds has accumulated in its 28-year life a loss larger than the initial asset value, if compared to an investment in one-year treasury bonds. However, there is a debate about the metrics to be used for measuring returns. We simulate the dynamics of returns and cash-flows in the period 2003-2010, and analyze the spread among different metrics, arguing on their appropriateness for evaluating performance from different perspectives.

Suggested Citation

  • Daniela Venanzi, 2013. "I fondi comuni italiani: quale metrica per quale performance?," Rivista di Politica Economica, SIPI Spa, issue 3, pages 81-113, July-Sept.
    • Handle: RePEc:rpo:ripoec:y:2013:i:3:p:81-113
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    More about this item

    Keywords

    mutual fund performance; spread between moneyweighted and time-weighted returns; characteristics of the Italian mutual fund industry;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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