ANALYSIS OF THE MUTUAL FUND PERFORMANCE BASED ON THE SHARPE RATIO, UPSIDE POTENTIAL RATIO AND REAL PERFORMANCE

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POURZAMANI Z.; JAHANSHAD A.; GHANADI N.

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2012 | Volume:3 | Issue:12 Page(s): 131-145

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Title

ANALYSIS OF THE MUTUAL FUND PERFORMANCE BASED ON THE SHARPE RATIO, UPSIDE POTENTIAL RATIO AND REAL PERFORMANCE

Author(s)

POURZAMANI Z. | JAHANSHAD A. | GHANADI N. | Issue Writer Certificate

Keywords

MUTUAL FUNDSQ2

PERFORMANCE MEASUREQ2

SHARPE RATIOQ2

UPSIDE POTENTIAL RATIO (UPR)Q2

Abstract

Many PERFORMANCE MEASUREs, such as the classical SHARPE RATIO have difficulty in evaluating the performance of MUTUAL FUNDS whose return distributions are skewed. In this article, we examine the ability of the downside risk and the upside potential ratio (UPR) in evaluating the skewed return distributions. We have used a sample of the active MUTUAL FUNDS in the Tehran Stock Exchange (TSE) for the period of 22- dec - 2010 To 22- dec - 2011. In order to make a fair comparison between the SHARPE RATIO and UPR, we assume that MAR in UPR plays the role of the risk-free rate in SHARPE RATIO. We constructed a ranking based on both criteria, and we find a very high correlation between the SHARPE RATIO and the UPR. This has seen to be the result of normal in the return distributions. Therefore, we prefer to use the UPR as an alternative to the SHARPE RATIO, as it gives a more adequate evaluation of the forecasting skills.

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APA: Copy

POURZAMANI, Z., JAHANSHAD, A., & GHANADI, N.. (2012). ANALYSIS OF THE MUTUAL FUND PERFORMANCE BASED ON THE SHARPE RATIO, UPSIDE POTENTIAL RATIO AND REAL PERFORMANCE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 3(12), 131-145. SID. https://sid.ir/paper/197666/en

Vancouver: Copy

POURZAMANI Z., JAHANSHAD A., GHANADI N.. ANALYSIS OF THE MUTUAL FUND PERFORMANCE BASED ON THE SHARPE RATIO, UPSIDE POTENTIAL RATIO AND REAL PERFORMANCE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2012;3(12):131-145. Available from: https://sid.ir/paper/197666/en

IEEE: Copy

Z. POURZAMANI, A. JAHANSHAD, and N. GHANADI, “ANALYSIS OF THE MUTUAL FUND PERFORMANCE BASED ON THE SHARPE RATIO, UPSIDE POTENTIAL RATIO AND REAL PERFORMANCE,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 3, no. 12, pp. 131–145, 2012, [Online]. Available: https://sid.ir/paper/197666/en

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