Ranking mutual funds using Sortino method

Makrani, Khosro Faghani; Zamanian, Behzad

doi:10.5267/j.msl.2014.2.028

Cited by 2 publications

(1 citation statement)

References 14 publications

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“…He used both classical and non-classical measures to assess the results of the funds. In turn, Makrani and Zamanian [2014] used the Sortino ratio to assess 42 funds in 2011-2012 on Tehran Stock Exchange. In recent years, the study of mutual funds on the Polish market was dealt with by, among others, Kompa and Witkowska [2010], Perez [2012], Kopiński [2013], Zamojska [2015], Karpio and Żebrowska-Suchodolska [2014].…”

Section: Review Of the Literaturementioning

confidence: 99%

Positioning equity mutual funds performance with the use of various risk measures

Żebrowska‐Suchodolska

Karpio

2020

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Purpose-Verifying the hypothesis that the ranking positions of funds are not repeatable during periods of changing market conditions. The subject of research are equity investment funds operating on the Polish market in the years 2003-2017. Research method-The research employed various risk measures appearing in investment performance indicators: as measures of variability relative to the average rate of return or market benchmark as well as measures of potential investor losses. Performance comparisons were made in five-year subperiods taking into account the monthly percentage changes in participation units. In each subperiod, a number of rankings based on the following indicators: Sharpe, Information Ratio, Sortino, Martin, Pain, Calmar, RVaR, mRVaR and CS were created. Results-There are no funds that would occupy high ranking positions created on the basis of various indicators. Positions taken by equity funds change randomly regardless of the situation on the capital market. Originality /value / implications /recommendations-The study uses a wide range of measures that differ in many important parameters from an investment point of view. In particular, this applies not only to risk measures, but also to benchmarks. The authors tried to increase the value of the study by associating subperiods with periods of changing market conditions. This allows conclusions to be drawn regarding the capital market segment. The presented studies can be extended to funds from other risk classes.

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Section: Review Of the Literaturementioning

confidence: 99%