The topic of the measurement of mutual funds' performance is receiving an increasing interest both from an applied and a theoretical perspective. Beside the traditional financial literature, a growing body of studies has started to apply the tools of frontier analysis for benchmarking comparisons in portfolio analysis. Our paper contributes to this literature proposing a robust nonparametric approach for analysing mutual funds. Our approach is illustrated by using US mutual funds data, grouped for category by objective. Economies of scale, slacks and market risks are investigated. A comparison of traditional, nonparametric and robust performance measures is also offered.
Daraio C., Simar L. (2004). A robust nonparametric approach to evaluate and explain the performance of mutual funds. s.l : s.n.
A robust nonparametric approach to evaluate and explain the performance of mutual funds
DARAIO, CINZIA;
2004
Abstract
The topic of the measurement of mutual funds' performance is receiving an increasing interest both from an applied and a theoretical perspective. Beside the traditional financial literature, a growing body of studies has started to apply the tools of frontier analysis for benchmarking comparisons in portfolio analysis. Our paper contributes to this literature proposing a robust nonparametric approach for analysing mutual funds. Our approach is illustrated by using US mutual funds data, grouped for category by objective. Economies of scale, slacks and market risks are investigated. A comparison of traditional, nonparametric and robust performance measures is also offered.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
