Does the choice of fund performance measure matter?
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Outros Autores: | , , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | https://hdl.handle.net/1822/66707 |
Resumo: | This paper investigates whether investment strategies using rankings based on different portfolio performance measures lead to different future abnormal returns. A set of 13 commonly used risk-adjusted performance measures is applied to a dataset of US equity mutual funds over the period July 1970 to September 2019. The results show some evidence of short-term performance persistence, suggesting that portfolios formed on different performance measures ex-ante can generate abnormal returns ex-post. A strategy of investing in the top performing funds and shorting the poor performing funds provides positive excess returns and five-factor alphas. However, when adjusting for the momentum factor, there is less evidence of abnormal performance. The results also show that overall there is little difference arising from the use of different performance measures, but with one notable exception: the Rachev ratio. |
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Does the choice of fund performance measure matter?Downside risk measuresPortfolio performance measuresPerformance rankingsEx-post performancePortfolio performance persistenceCiências Sociais::Economia e GestãoSocial SciencesG11G12This paper investigates whether investment strategies using rankings based on different portfolio performance measures lead to different future abnormal returns. A set of 13 commonly used risk-adjusted performance measures is applied to a dataset of US equity mutual funds over the period July 1970 to September 2019. The results show some evidence of short-term performance persistence, suggesting that portfolios formed on different performance measures ex-ante can generate abnormal returns ex-post. A strategy of investing in the top performing funds and shorting the poor performing funds provides positive excess returns and five-factor alphas. However, when adjusting for the momentum factor, there is less evidence of abnormal performance. The results also show that overall there is little difference arising from the use of different performance measures, but with one notable exception: the Rachev ratio.This work was carried out within the funding with COMPETE reference nº POCI-01-0145-FEDER-006683, with the FCT/MEC’s (Fundação para a Ciência e a Tecnologia, I.P.) financial support through national funding and by the ERDF through the Operational Programme on "Competitiveness and Internationalization –COMPETE 2020 under the PT2020 Partnership Agreement.Taylor & FrancisUniversidade do MinhoAdcock, Chris J.Areal, NelsonCortez, Maria CéuOliveira, Benilde Maria do NascimentoSilva, Florinda20202020-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/1822/66707engChris J. Adcock, Nelson Areal, Maria Céu Cortez, Benilde Oliveira and Florinda Silva (2020). Does the choice of fund performance measure matter?, Investment Analysts Journal, Volume 49, Issue 1, January 2020, Pages 53-77. doi: 10.1080/10293523.2020.17238651029-352310.1080/10293523.2020.1723865https://www.tandfonline.com/doi/full/10.1080/10293523.2020.1723865info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-10-07T01:22:08Zoai:repositorium.sdum.uminho.pt:1822/66707Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:41:09.544592Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Does the choice of fund performance measure matter? |
title |
Does the choice of fund performance measure matter? |
spellingShingle |
Does the choice of fund performance measure matter? Adcock, Chris J. Downside risk measures Portfolio performance measures Performance rankings Ex-post performance Portfolio performance persistence Ciências Sociais::Economia e Gestão Social Sciences G11 G12 |
title_short |
Does the choice of fund performance measure matter? |
title_full |
Does the choice of fund performance measure matter? |
title_fullStr |
Does the choice of fund performance measure matter? |
title_full_unstemmed |
Does the choice of fund performance measure matter? |
title_sort |
Does the choice of fund performance measure matter? |
author |
Adcock, Chris J. |
author_facet |
Adcock, Chris J. Areal, Nelson Cortez, Maria Céu Oliveira, Benilde Maria do Nascimento Silva, Florinda |
author_role |
author |
author2 |
Areal, Nelson Cortez, Maria Céu Oliveira, Benilde Maria do Nascimento Silva, Florinda |
author2_role |
author author author author |
dc.contributor.none.fl_str_mv |
Universidade do Minho |
dc.contributor.author.fl_str_mv |
Adcock, Chris J. Areal, Nelson Cortez, Maria Céu Oliveira, Benilde Maria do Nascimento Silva, Florinda |
dc.subject.por.fl_str_mv |
Downside risk measures Portfolio performance measures Performance rankings Ex-post performance Portfolio performance persistence Ciências Sociais::Economia e Gestão Social Sciences G11 G12 |
topic |
Downside risk measures Portfolio performance measures Performance rankings Ex-post performance Portfolio performance persistence Ciências Sociais::Economia e Gestão Social Sciences G11 G12 |
description |
This paper investigates whether investment strategies using rankings based on different portfolio performance measures lead to different future abnormal returns. A set of 13 commonly used risk-adjusted performance measures is applied to a dataset of US equity mutual funds over the period July 1970 to September 2019. The results show some evidence of short-term performance persistence, suggesting that portfolios formed on different performance measures ex-ante can generate abnormal returns ex-post. A strategy of investing in the top performing funds and shorting the poor performing funds provides positive excess returns and five-factor alphas. However, when adjusting for the momentum factor, there is less evidence of abnormal performance. The results also show that overall there is little difference arising from the use of different performance measures, but with one notable exception: the Rachev ratio. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020 2020-01-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/1822/66707 |
url |
https://hdl.handle.net/1822/66707 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Chris J. Adcock, Nelson Areal, Maria Céu Cortez, Benilde Oliveira and Florinda Silva (2020). Does the choice of fund performance measure matter?, Investment Analysts Journal, Volume 49, Issue 1, January 2020, Pages 53-77. doi: 10.1080/10293523.2020.1723865 1029-3523 10.1080/10293523.2020.1723865 https://www.tandfonline.com/doi/full/10.1080/10293523.2020.1723865 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Taylor & Francis |
publisher.none.fl_str_mv |
Taylor & Francis |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799132960108052480 |