Evaluation of mutual funds performance using multiple measures

Abstract

The present work dealt with the study of evaluation of mutual funds performance using multiple performance measures. The measures employed were the classic Sharpe ratio, the Treynor ratio, the Information ratio, the Modigliani-Modigliani measure (RAP), the Jensen’s alpha and the Treynor- Mazuy model coefficients. The markets under examination were Germany, Austria and France, on account of the big impact these markets have on the European Union economy as an entity. 204 open-end equity mutual funds were examined for every country for the period from 01/01/2002 to 31/12/2012. The examinations were repeated for two subperiods, from 01/01/2002 to 01/06/2007 and from 01/06/2007 to 31/12/2012 to obtain useful information about the robustness of the results. The two subperiods were chosen to characterize two phases of European Continent economies, the prior-crisis and after-crisis periods. After the mutual funds performance measures were calculated, rankings of the mutual funds based on these measures were formatted and the correlation of the measures was studied.