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Fund Ratings: The method reconsidered

Author

Listed:
  • Fausto Corradin

    (GRETA Associati, Venice)

  • Domenico Sartore

    (Department of Economics, Ca� Foscari University of Venice)

Abstract

This paper compares the performance of a quadratic utility function and discusses how to change its characteristic parameter, ARA, so that rating is consistent with return and risk measurements. In particular, this parameter is modified in such a way that a positive return Fund has always a rating higher than one with a negative yield. This modification confirms the possibility of building a new ranking procedure which is more coherent with the actual behaviour of investors.

Suggested Citation

  • Fausto Corradin & Domenico Sartore, 2014. "Fund Ratings: The method reconsidered," Working Papers 2014:17, Department of Economics, University of Venice "Ca' Foscari".
    • Handle: RePEc:ven:wpaper:2014:17
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    Citations

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    Cited by:

    1. Fausto Corradin & Domenico Sartore, 2020. "Risk Aversion: Differential Conditions for the Iso-Utility Curves with Positive Slope in Transformed Two-Parameter Distributions," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(3), pages 142-217, September.
    2. Fausto Corradin & Domenico Sartore, 2020. "Risk Aversion: Differential Conditions for the Iso-Utility Curves with Positive Slope in Transformed Two-Parameter Distributions," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(3), pages 142-217, September.

    More about this item

    Keywords

    quadratic utility function; positive and negative returns; absolute risk aversion; Morningstar rating; truncated normal distribution; incomplete gamma function; Italian Pension Fund;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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