Medidas de avaliação de desempenho: os fundos de ações europeias no período 2001 a 2015

Mutual funds performance evaluation measures allow to establish rankingsand play an essential role for investors who want to make investmentdecisions. The choice of suitable measure should take into account the riskpreference of investors. This paper compares the different risk-adjustedmeasures, such Sharpe, MM, Treynor, Jensen, RORAC, information, Ivar,Sortino, UPR, Omega, Fouse and Alfa Sharpe indexes. The objectives of thisstudy are to test the consistency between the measurements, to study thecorrelation between measures and the risk preferences and look for measuresthat simulate the Morningstar rating. To perform this study the data wasobtained at Yahoo finance, with the sample consisting of 28 funds ofEuropean shares, from September 2001 to September 2015. It was concludedthat the measures produce identical rankings, so there is a high correlationbetween them excluding RORAC and the Information indexes. This study showsthat the classification of investment funds varies depending on whether ornot the indicator assumes high income volatility. Sharpe and MM indexesshowed greater explanatory power in relation to Morningstar rating and alsohave a high correlation with the quadratic utility function and the valuefunction from prospect theory. The degree of correlation decreases asincreases the risk aversion coefficient, with measures based on downsiderisk (Sortino ratio and omega) maintaining a good correlation with allpreference levels, both in the overall period and in sub-periods.