Αποτελεσματικότητα αμοιβαίων κεφαλαίων
KeywordsΑπόδοση ; Κίνδυνος ; Information Ratio ; Jensen’s alpha ; Modigliani ; Modified Sharpe ; Sharpe ; Treynor ; Treynor - Mazuy ; Value at Risk
The aim of this thesis is to evaluate the performance of the Canadian, Japanese and Australian mutual funds by using seven performance measures. The selected funds were exclusively equity and open-ended and were rated for each measure separately and were compared not only with each other but also with the benchmark chosen for each country. The performance measures that were selected are the Sharpe ratio, the Treynor ratio, the Jensen’s alpha, the Information Ratio, the Modigliani-Modigliani (RAP), the Treynor-Mazuy and the Modified Sharpe ratio. The ten-year period starting from 01/01/2008 to 31/12/2017 was selected for the performance analysis and was divided into two five-year subperiods, i.e. 01/01/2008 – 31/12/2012 and 01/01/2013 – 31/12/2017.