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Relative benchmark rating and persistence analysis: Evidence from Italian equity funds


  • Roberto Casarin
  • Marco Lazzarin
  • Loriana Pelizzon
  • Domenico Sartore


The recent introduction into the Italian mutual fund market of Morningstar performance rating of private institutions gives rise to the question of what is the relation between this relative benchmark measure and the other traditional performance measures. This paper provides a comprehensive analysis of the relative benchmark performance measure (Morningstar rating) applied to Italian equity funds. It is found that this performance measure is highly correlated with the classical performance measures (Sharpe ratio, Sortino ratio and Treynor ratio) and poorly correlated with the customized benchmark measure (Information ratio). Furthermore, performing a persistence analysis, using non-parametric methods Cross-product Ratio and Chi-squared test, it is observed that only the Morningstar rating measure generates a strong degree of persistence. These results deviate from most European studies, which argue that Italian mutual funds display weak persistence.

Suggested Citation

  • Roberto Casarin & Marco Lazzarin & Loriana Pelizzon & Domenico Sartore, 2005. "Relative benchmark rating and persistence analysis: Evidence from Italian equity funds," The European Journal of Finance, Taylor & Francis Journals, vol. 11(4), pages 297-308.
  • Handle: RePEc:taf:eurjfi:v:11:y:2005:i:4:p:297-308
    DOI: 10.1080/1351847042000286658

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    Cited by:

    1. Silvio John Camilleri & Ritienne Farrugia, 2018. "The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(7), pages 1-23, July.
    2. Fausto Corradin & Domenico Sartore, 2014. "Fund Ratings: The method reconsidered," Working Papers 2014:17, Department of Economics, University of Venice "Ca' Foscari".
    3. Luis Vicente & Luis Ferruz, 2005. "Performance persistence in Spanish equity funds," Applied Financial Economics, Taylor & Francis Journals, vol. 15(18), pages 1305-1313.
    4. Francesco Lisi, 2011. "Dicing with the market: randomized procedures for evaluation of mutual funds," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 163-172.
    5. Javier Rodriguez, 2008. "European mutual funds and portfolio's country exposure: does active management add value?," Applied Financial Economics, Taylor & Francis Journals, vol. 18(8), pages 683-689.
    6. Eurico J. Ferreira & Stanley D. Smith, 2012. "The information content of Morningstar StockInvestor: the Tortoise vs the Hare," Managerial Finance, Emerald Group Publishing, vol. 38(3), pages 403-413, March.


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