Does the Use of Downside Risk-Adjusted Measures Impact the Performance of UK Investment Trusts?

Adcock, Chris; Areal, Nelson; Armada, Manuel José da Rocha; Cortez, Maria Céu; Oliveira, Benilde; Silva, Florinda

doi:10.2139/ssrn.1662627

Cited by 6 publications

(6 citation statements)

References 39 publications

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“…Eling (2008) examines the same 11 measures on a wide panel of 38,954 mutual funds (with 17,817 stock funds, 12,279 bonds funds, among others) with monthly prices between 1996 and 2005, and again notices similar results. Using daily data on a sample of 109 UK investment trusts, Adcock et al (2010) get 9 analogous conclusions by using the Sharpe and Sortino ratios, then Sharpe ratios based on VaR and on CVaR. Eling (2011, 2012) provide further theoretical support to these empirical findings.…”

Section: Literature Reviewmentioning

confidence: 80%

International Mutual Funds Performance and Persistence across the Universe of Performance Measures

Cogneau

Hübner

2020

Finance

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We process an exhaustive set of 147 portfolio performance measures and their variations, and identify 18 relevant dimensions using a Principal Component Analysis on a sample of 1,625 international equity mutual funds. We isolate three of the seven most informative factors that uncover potential strong performance persistence. These factors reflect various forms of incremental return and preference-adjusted performance. Our paper is the first one that shows statistical and economic evidence that conditioning portfolio formation on past realizations of these factors may produce significant outperformance, from the point of view of naïve portfolio allocation as well as more classical selection criteria like the Sharpe ratio.

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Section: Literature Reviewmentioning

confidence: 80%

International Mutual Funds Performance and Persistence across the Universe of Performance Measures

Cogneau

Hübner

2020

Finance

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“…A Tabela 3 reporta as estatísticas descritivas dos fundos analisados aqui. Evidencia-se que os ganhos esperados dos fundos da amostra oscilam aproximadamente entre -1% e 2,5% ao mês, havendo um padrão não necessariamente existente no segmento de FIA em outros países, como no Reino Unido segundo Adcock et al (2010), caracterizado por uma correlação positiva entre o tamanho ou PL do FIA e seu ganho médio.…”

Section: Estatísticas Descritivas Dos Fiaunclassified

“…Somente a partir da década de 90 passa a haver uma maior densidade de estudos, segundo Haslem (2009), com a principal vertente associada aos aspectos institucionais e estruturais e à capacidade dos gestores dos fundos no sentido de fazê-los "bater" o mercado. 2 Adcock et al (2010), Bessler et al (2010) e Ferreira et al (2010) estudam a associação entre a performance e a composição das carteiras dos fundos na Europa.…”

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Há bons gestores de fundos de investimento em ações no Brasil?

Matos¹,

Silva²,

Silva³

2015

Braz. Rev. Fin.

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In this paper, we would like to contribute to the asset pricing discussion, by proposing a linear model of factors built specifically for the Brazilian stock mutual funds and by using it to analyze the performance of these funds through the methodology proposed in Fama & French (2010). The main innovation of this study is using this framework derived specifically for this category of funds with the aim to infer about the performance of the Brazilian funds, while literature is using classical models written to price stocks and not funds. We evidence that the factor model is more rigorous than the CAPM in the sense of identifying the randomness in performance. The main evidence is the existence of only 4 % of the sample of survivors funds in this category, whose superior risk-return performance is significant and a consequence of management expertise, and not due to lucky.

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“…Conversely, if returns do not follow a normal distribution this approach is questionable. To determine whether this argument holds true, Adcock et al (2010) study the impact of using downside risk-adjusted performance measures to a negatively skewed dataset. The correlation coefficients of Sharpe ratio, Sortino ratio, excess return on Value-at-Risk and excess return on Expected Shortfall are measured using Pearson's correlation, Spearman's rank correlation, Kendall's Tau and Cohen's Kappa.…”

Section: European Journal Of Economics Finance and Administrative Scimentioning

confidence: 99%

Impact on the Rankings of Mutual Funds Due to Choice of Performance Measure: An Asian Perspective

Nagar,

Gupta,

Krishnamurti

2013

SSRN Journal

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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.

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Does the Use of Downside Risk-Adjusted Measures Impact the Performance of UK Investment Trusts?

Cited by 6 publications

References 39 publications

International Mutual Funds Performance and Persistence across the Universe of Performance Measures

International Mutual Funds Performance and Persistence across the Universe of Performance Measures

Há bons gestores de fundos de investimento em ações no Brasil?

Impact on the Rankings of Mutual Funds Due to Choice of Performance Measure: An Asian Perspective

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