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TitleDoes the choice of fund performance measure matter?
Author(s)Adcock, Chris j.
Areal, Nelson
Cortez, Maria Céu
Oliveira, Benilde Maria do Nascimento
Silva, Florinda
KeywordsDownside risk measures
Portfolio performance measures
Performance rankings
Ex-post performance
Portfolio performance persistence
Issue date2020
PublisherTaylor and Francis
JournalInvestment Analysts Journal
CitationChrisJ. Adcock,Nelson Areal,Maria Céu Cortez,BenildeOliveiraand Florinda Silva (2020). Does the choice of fund performance measure matter?, Investment Analysts Journal, Volume 49, Issue 1, January 2020, Pages 53-77. doi: 10.1080/10293523.2020.1723865
Abstract(s)This paper investigates whether investment strategies using rankings based on different portfolio performance measures lead to different future abnormal returns. A set of 13 commonly used risk-adjusted performance measures is applied to a dataset of US equity mutual funds over the period July 1970 to September 2019. The results show some evidence of short-term performance persistence, suggesting that portfolios formed on different performance measures ex-ante can generate abnormal returns ex-post. A strategy of investing in the top performing funds and shorting the poor performing funds provides positive excess returns and five-factor alphas. However, when adjusting for the momentum factor, there is less evidence of abnormal performance. The results also show that overall there is little difference arising from the use of different performance measures, but with one notable exception: the Rachev ratio.
Publisher version
AccessEmbargoed access (2 Years)
Appears in Collections:NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica

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