Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 24, 2022 erstellt
Description:
Mutual fund investors typically invest for years, or even decades. In contrast, fund rankings are almost invariably based on monthly return parameters. This is a potentially severe problem, because rankings are not invariant to the horizon. Moreover, as the horizon increases, return distributions become positively skewed, and the mean-variance framework becomes inappropriate altogether. This paper shows, both theoretically and empirically, that as the horizon increases the efficient investment set rapidly shrinks towards the fund with the maximal monthly Sharpe ratio. Thus, perhaps surprisingly, monthly Sharpe ratios turn out to be the appropriate performance measure for long-run investors