Ornelas, Jose Renato Haas
[Verfasser:in]
;
Farias, Aquiles
[Sonstige Person, Familie und Körperschaft];
Silva Jr., Antonio F. A.
[Sonstige Person, Familie und Körperschaft]
Manipulation-Proof Performance Evaluation of Brazilian Fixed Income and Multimarket Funds
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 18, 2008 erstellt
Beschreibung:
Traditional performance measures are based on the mean-variance framework. Emerging literature in performance evaluation is concerned with other moments of returns' distribution and also to avoid manipulation of performance measures by portfolio managers. This paper compares two performance measures: the traditional Sharpe Ratio and a recently proposed measure, the Manipulation-Proof Performance Measure (MPPM) using a sample of Brazilian Fixed Income and Multimarkets funds. We found a low rank correlation between MPPM and Sharpe Ratio. The Top Funds' Lists of the two measures reveals that very few funds are present on both lists. Furthermore, data shows low risk-adjusted performance persistence over time, especially for Multimarkets, and when using a short-time interval