To use standard deviation as a performance ratio, you need to compare two funds belonging to the same category. In other words, you cannot determine if the standard deviation of a fund is high or low without comparing it to other funds in the same category. 4. Sharpe Ratio Sharpe ratiois...
Equity mutual fundsSharpe’s ratioBenchmark indexTreynor’s ratioFama’s measureRisk-Return analysisIn this paper, study has been made to analyse the performance of ten growth oriented equity diversified mutual fund schemes (MFS) viz., Franklin India High GrowN., Suresh...
Invest in mutual funds online with SC Invest, to know moreclick here. Treynor Ratio Treynor ratio, like the Sharpe ratio, shows the extra returns above the risk-free rate of return. The only difference is that it considers Beta and not SD. It indicates the extra returns for taking a syst...
The rapid growth of Mutual Funds has compelled us to take a deeper look into the performance of Mutual Funds, taking into account the expectations of investors, ability of Fund Managers Portfolio Managers to time their entry into the market and choose the right stock. This would enable the ...
Beta (Equity Funds):Measures the relative volatility of a fund to its benchmark index Sharpe Ratio (Equity Funds):Evaluates risk-adjusted returns relative to volatility. Portfolio Turnover (Equity Funds):Indicates trading frequency, revealing potential costs. ...
expense ratios is 1.65%, that is to say 90% of all funds have an expense ratio of 1.65% or less. At the top of the menu, nine funds have expense ratios of 4% or higher. The costliest fund has a stratospheric expense ratio of 7.09% (We double-checked. That is not a data error)...
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The FOFs and the equity funds comparisons are based on two common risk-adjusted performance measures, which include Jensen's alpha (α) and the Sharpe ratio. These measures are estimated for each fund over the period 1996–2003. While the equity fund subset permits the matching of the fund ...
mutual funds Tag Archives:mutual funds The Predictive Power of Information Ratios Our earlier work showed that simple performance metrics, such asnominal returnsandSharpe Ratios, revert. Because of this reversion,above-average past performers tend to become below-averageand vice versa. This reversion ...
Mutual fund investors should avoidactively managedfunds with high R-squared ratios, which are generally criticized by analysts as being "closet"index funds. In such cases, it makes little sense to pay higher fees for professional management when you can get the same or better results from an in...