On a benchmark related assessment of the performance of mutual (investment) funds

Abstract

We deal with the problem of how to evaluate the performance of an investment (mutual) fund, over a past period. We assume a widely assumed attitude that an investment fund is said to have performed well if its unit price have been rising faster than its benchmark during a period of growth, and has been falling slower than its benchmark during the period of decline. We develop a novel, flexible and human consistent comparison method that operates on the comparison of trends (segments) extracted from the times series representing the behavior of the fund and its benchmark. The result of comparison becomes a new data set that is linguistically summarized using the method proposed in our previous works.