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Different risk-adjusted fund performance measures: a comparison

dc.contributor.authorGrau Carles, Pilar
dc.contributor.authorDoncel Pedrera, Luis Miguel
dc.contributor.authorSainz Gonzañez, Jorge
dc.description.abstractTraditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen¿s alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk (VaR), would be more appropriate. Standard VaR assumes that returns are normally distributed, though they usually present skewness and kurtosis. In this paper we compare these different measures of risk: traditional ones vs. ones that take into account fat tails and asymmetry, such as those based on the Cornish-Fisher expansion and on the extreme value theory. Moreover, we construct a performance index similar to the Sharpe ratio using these VaR-based risk measures. We then use these measures to compare the rating of a set of mutual funds, assessing the different measures¿ usefulness under the Basel II risk management
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.subjectValue at Riskes
dc.subjectMutual fundses
dc.titleDifferent risk-adjusted fund performance measures: a comparisones
dc.subject.unesco5307.03 Modelos y Teorías del desarrollo Económicoes
dc.description.departamentoEconomía Aplicada I

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Atribución-NoComercial-SinDerivadas 3.0 EspañaExcept where otherwise noted, this item's license is described as Atribución-NoComercial-SinDerivadas 3.0 España