Impact on the rankings of mutual funds due to choice of performance measure: An Asian perspective

Article

Nagar, Vinu, Gupta, Rakesh and Krishnamurti, Chandrasekhar. 2013. "Impact on the rankings of mutual funds due to choice of performance measure: An Asian perspective." The European Journal of Economics, Finance and Administrative Sciences.
Article Title

Impact on the rankings of mutual funds due to choice of performance measure: An Asian perspective

ERA Journal ID35634
Article CategoryArticle
AuthorsNagar, Vinu (Author), Gupta, Rakesh (Author) and Krishnamurti, Chandrasekhar (Author)
Journal TitleThe European Journal of Economics, Finance and Administrative Sciences
Number of Pages16
Year2013
Place of PublicationVictoria, Seychelles
ISSN1450-2275
Web Address (URL)http://www.europeanjournalofeconomicsfinanceandadministrativesciences.com/index.html
Abstract

Existing literature on performance evaluation has used wide variety of performance measures to estimate the risk-return benefits of a portfolio. This has raised questions about the reliability and accuracy of the performance measures. Investors are also concerned whether the choice of a performance measure has an impact on their investment decisions. This paper attempts to resolve this issue by comparing eight risk-adjusted and downside risk-adjusted performance measures using a sample of open-ended equity mutual funds of India, Singapore and Taiwan. We estimate the performance measures by creating a moving window of time and perform Spearman’s rank correlation on them. Results show that performance measures that fall in the same category, for example Value-at-Risk (VaR) based measures, are highly correlated to each other, but as we go further and use performance measures that are different from each other, rank correlations decrease. In our study, rank correlations for Sortino ratio are significantly lower for Singapore and Taiwan markets. Therefore, we conclude that the choice of performance measure is significant as it affects the rankings of mutual funds.

Keywordsmutual funds, performance evaluation, rank correlation, risk-adjusted performance measures, downside risk-adjusted performance measures
ANZSRC Field of Research 2020350202. Finance
Public Notes

Copyright of Accepted Manuscripts—Authors of accepted manuscripts for publication in the journal agree that the copyright will be transferred to journal and all authors should sign copyright forms. However, those authors have the right to use of their published manuscripts fairly, such as teaching and nonprofit purposes.

Byline AffiliationsSchool of Commerce
Griffith University
Institution of OriginUniversity of Southern Queensland
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