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Mutual Fund Performance and Investment Horizon

In: An Introduction to Wavelet Theory in Finance A Wavelet Multiscale Approach

Author

Listed:
  • Francis In

    (Monash University, Australia)

  • Sangbae Kim

    (Kyungpook National University, Korea)

Abstract

This chapter examines the relative rankings of mutual fund performance at different investment horizons, with a particular focus on the Sharpe ratio. This study is important because the difference between the investment horizons of investors and the performance evaluation periods of mutual fund managers can generate suboptimal investment decisions for mutual fund investors. To this end, we utilize the wavelet multiscaling approach. Our empirical results show that all Sharpe ratios at multiple investment horizons display a very high rank correlation with respect to the Sharpe ratio at the 1-day investment horizon, implying that it matters little which investment horizon is used to assess the performance of mutual funds. This result is supported by five robustness tests.

Suggested Citation

  • Francis In & Sangbae Kim, 2012. "Mutual Fund Performance and Investment Horizon," World Scientific Book Chapters, in: An Introduction to Wavelet Theory in Finance A Wavelet Multiscale Approach, chapter 9, pages 161-175, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814397841_0009
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    Cited by:

    1. Ugo Rossi & Arturo Di Bella, 2017. "Start-up urbanism: New York, Rio de Janeiro and the global urbanization of technology-based economies," Environment and Planning A, , vol. 49(5), pages 999-1018, May.

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