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Journal Articles The Journal of Index Investing Year : 2010

A Statistical Analysis of Mutual Fund Performance Measures: The Relevance of IRs, Betas, and Sharpe Ratios

Abstract

Since Markowitz [1958] and Sharpe [1966], the increasing number of criteria and performance indicators have made mutual fund analysis more complex and sometimes risky. In this study, the author attempts to identify the most relevant indicators for classifying mutual funds based on their statistical properties. This study focuses on 15 indicators of performance relative to 210 equity mutual funds calculated monthly on three subperiods between 2000 and 2006. A comparison of statistical distributions, correlations, and a principal component analysis has not only confirmed the relevance of information ratios, betas, and Sharpe ratios, but also highlights the importance of a globally integrated approach based both on different calculation periods (short term, medium, and long term) and three dimensions on the performance analysis and mutual fund rankings (manager skill, market exposure, and relative performance).
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Dates and versions

hal-03553215 , version 1 (02-02-2022)

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Hery Razafitombo. A Statistical Analysis of Mutual Fund Performance Measures: The Relevance of IRs, Betas, and Sharpe Ratios. The Journal of Index Investing, 2010, 1 (2), pp.89-106. ⟨10.3905/jii.2010.1.2.089⟩. ⟨hal-03553215⟩
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