Mutual funds performance assessment: a multicriteria approach
2001
Hoxha, R.
Assessing the performance of mutual funds is an important issue because investors are charged for the management of their investments. Thus, it is important to assist investors in their decision as to where to invest. The aim of this study was to identify the best performers of the Greek Domestic Equity Mutual Funds. The latter were ranked by applying the PROMETHEE II method, which originates from the Multicriteria Decision Aid. The method was applied in order to rank mutual funds from the best to the worst one based on three generalized criteria, seven meaningful criteria of mutual funds performance using several different scenarios for the period 1999-2000 To reach our target, the following performance measures were examined in detail: (1) total returns, (2) Sharpe Ratio, (3) Treynor index, (4) Jensen alpha, (5) risk measured both in terms of beta coefficients and value at risk and (6) the percentage change in assets of mutual funds. Results revealed that were significant differences in the ranking of mutual funds for the examined years. Market timing and the stock selection abilities of mutual funds managers were also examined. According to the results obtained, little evidence regarding the ability of mangers to forecast future security prices and exploit stock selection abilities was found.
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