Performance metrics for Spanish investment funds
lferruz@unizar.esThis paper is useful for investors and managers of investment funds since it tries to identify the true performance of these portfolios. The empirical results obtained in the Spanish equity fund market provide evidence for the incorrect performance valuations when classical indexes are considered. These problems are caused by: 1) the asymmetric return distributions; 2) the negative return premia. On this subject, the application of the original measures proposed in this work leads to coherent performance rankings. So, these rankings suppose very useful information for fund investors to value the management quality of each fund and for fund managers to know their relative position with respect to the rest of the market.
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posted by Victor Lloyd Smith @ 12:00 PM
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