Yes, the choice of performance measure does matter for ranking of us mutual funds

Detalhes bibliográficos
Autor(a) principal: Ornelas, José Renato Haas
Data de Publicação: 2012
Outros Autores: Silva Júnior, Antônio Francisco, Fernandes, José Luiz Barros
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UFBA
Texto Completo: http://repositorio.ufba.br/ri/handle/ri/16524
Resumo: Texto completo: acesso restrito. p. 61–72
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spelling Ornelas, José Renato HaasSilva Júnior, Antônio FranciscoFernandes, José Luiz BarrosOrnelas, José Renato HaasSilva Júnior, Antônio FranciscoFernandes, José Luiz Barros2014-11-06T20:10:44Z20121076-9307http://repositorio.ufba.br/ri/handle/ri/16524v. 17, n. 1Texto completo: acesso restrito. p. 61–72Recent literature in performance evaluation has focused on preferences and characteristics of returns' distribution that go beyond mean and variance world. However, Eling (2008) compared the Sharpe ratio with some of these performance measures, and found virtually identical rank ordering using mutual fund data. This paper compares 13 performance measures with the traditional Sharpe Ratio using a sample of US Fixed-Income, Equity and Asset Allocation Mutual Funds. Results show that performance measures based on absolute reward-risk ratios have similar rankings, when the numerator (mean excess return) is the same. However, when we move to other types of performances measures, results may be significantly different. This is the case of the Manipulation-Proof Performance Measure (MPPM), Upside Potential Ratio, and Appraisal Ratio. Results are especially different for the MPPM. Robustness checks show that some of the performance measures are very sensitive to parameters' changes. Therefore, the choice of the performance measure is actually important for mutual fund ranking and selection. As a consequence, we argue that the use of several performance measures and rankings have a positive impact on the mutual fund's industry, reducing concentration.Submitted by Edileide Reis (leyde-landy@hotmail.com) on 2014-11-03T13:31:30Z No. of bitstreams: 1 José Renato Haas Ornelas.pdf: 160102 bytes, checksum: 7ede05bd97457f06448c5c7cece78587 (MD5)Approved for entry into archive by Tatiana Lima (tatianasl@ufba.br) on 2014-11-06T20:10:43Z (GMT) No. of bitstreams: 1 José Renato Haas Ornelas.pdf: 160102 bytes, checksum: 7ede05bd97457f06448c5c7cece78587 (MD5)Made available in DSpace on 2014-11-06T20:10:44Z (GMT). No. of bitstreams: 1 José Renato Haas Ornelas.pdf: 160102 bytes, checksum: 7ede05bd97457f06448c5c7cece78587 (MD5) Previous issue date: 2012http://dx.doi.org/10.1002/ijfe.437reponame:Repositório Institucional da UFBAinstname:Universidade Federal da Bahia (UFBA)instacron:UFBAPerformance measureRank correlationSharpe ratioYes, the choice of performance measure does matter for ranking of us mutual fundsInternational Journal of Finance & Economicsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article10000-01-01info:eu-repo/semantics/openAccessengORIGINALJosé Renato Haas Ornelas.pdfJosé Renato Haas Ornelas.pdfapplication/pdf160102https://repositorio.ufba.br/bitstream/ri/16524/1/Jos%c3%a9%20Renato%20Haas%20Ornelas.pdf7ede05bd97457f06448c5c7cece78587MD51LICENSElicense.txtlicense.txttext/plain1345https://repositorio.ufba.br/bitstream/ri/16524/2/license.txt0d4b811ef71182510d2015daa7c8a900MD52TEXTJosé Renato Haas Ornelas.pdf.txtJosé Renato Haas Ornelas.pdf.txtExtracted texttext/plain45614https://repositorio.ufba.br/bitstream/ri/16524/3/Jos%c3%a9%20Renato%20Haas%20Ornelas.pdf.txt3bb802f90ab39d5374a8ee14ee22574dMD53ri/165242022-07-05 14:03:36.588oai:repositorio.ufba.br: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Repositório InstitucionalPUBhttp://192.188.11.11:8080/oai/requestopendoar:19322022-07-05T17:03:36Repositório Institucional da UFBA - Universidade Federal da Bahia (UFBA)false
dc.title.pt_BR.fl_str_mv Yes, the choice of performance measure does matter for ranking of us mutual funds
dc.title.alternative.pt_BR.fl_str_mv International Journal of Finance & Economics
title Yes, the choice of performance measure does matter for ranking of us mutual funds
spellingShingle Yes, the choice of performance measure does matter for ranking of us mutual funds
Ornelas, José Renato Haas
Performance measure
Rank correlation
Sharpe ratio
title_short Yes, the choice of performance measure does matter for ranking of us mutual funds
title_full Yes, the choice of performance measure does matter for ranking of us mutual funds
title_fullStr Yes, the choice of performance measure does matter for ranking of us mutual funds
title_full_unstemmed Yes, the choice of performance measure does matter for ranking of us mutual funds
title_sort Yes, the choice of performance measure does matter for ranking of us mutual funds
author Ornelas, José Renato Haas
author_facet Ornelas, José Renato Haas
Silva Júnior, Antônio Francisco
Fernandes, José Luiz Barros
author_role author
author2 Silva Júnior, Antônio Francisco
Fernandes, José Luiz Barros
author2_role author
author
dc.contributor.author.fl_str_mv Ornelas, José Renato Haas
Silva Júnior, Antônio Francisco
Fernandes, José Luiz Barros
Ornelas, José Renato Haas
Silva Júnior, Antônio Francisco
Fernandes, José Luiz Barros
dc.subject.por.fl_str_mv Performance measure
Rank correlation
Sharpe ratio
topic Performance measure
Rank correlation
Sharpe ratio
description Texto completo: acesso restrito. p. 61–72
publishDate 2012
dc.date.issued.fl_str_mv 2012
dc.date.accessioned.fl_str_mv 2014-11-06T20:10:44Z
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 http://repositorio.ufba.br/ri/handle/ri/16524
dc.identifier.issn.none.fl_str_mv 1076-9307
dc.identifier.number.pt_BR.fl_str_mv v. 17, n. 1
identifier_str_mv 1076-9307
v. 17, n. 1
url http://repositorio.ufba.br/ri/handle/ri/16524
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.pt_BR.fl_str_mv http://dx.doi.org/10.1002/ijfe.437
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