Εμπειρική διερεύνηση της αξιολόγησης της επίδοσης των αμοιβαίων κεφαλαίων στην Ελλάδα για την περίοδο 2003-2010
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Keywords
Αμοιβαία κεφάλαια ; Sharpe ; Treynor ; Treynor–MazuyAbstract
The subject of this thesis is the empirical investigation of the evaluation of the performance of mutual funds in Greece for the period 2003-2010. For the evaluation of mutual funds, model indicators are used, and more specifically the Sharpe, Treynor and Jensen ratios and the Treynor–Mazuy model. The data used for the estimation of the econometric models are on a weekly basis. Also, the examined period is divided into two sub-periods, the period 2003 - 2008 and the period 2008 - 2010 in order to investigate the behavior of mutual funds in uptrends and downtrends.