Performance Evaluation Of Greek Domestic Mutual Funds in the Crisis of 2008-2010

Απλή σελίδα τεκμηρίου
dc.contributor.authorPeppas, Apostolosen
dc.date.accessioned2015-03-13T12:14:16Z
dc.date.available2015-09-27T06:05:06Z
dc.date.issued2015-03-13
dc.identifier.urihttps://repository.ihu.edu.gr/xmlui/handle/11544/29
dc.rightsDefault License
dc.titlePerformance Evaluation Of Greek Domestic Mutual Funds in the Crisis of 2008-2010en
heal.abstractThe present study aims to evaluate the performance of forty four domestic equity mutual funds operating in the Greek financial market over the period of the financial crisis 1/1/2008-31/12/2010 using weekly returns. This study has examined the performance of each fund compared to the benchmark index (Athens General Index), with the use of Sharpe, Treynor and Jensen’s alpha index. The evidence showed that in majority the mutual funds succeed returns higher of the benchmark index and at the same time had standard deviation than the standard deviation of the benchmark index. However none of the mutual funds succeed positive sign regardless of the performances measure used and there evidences that the funds with high standard deviation had low return and vice versa. There not evidence for timing ability of the funds managers and of persistence regardless of the measure used. Finally the study presents both empirical and mathematical proof that Sharpe and Treynor ratio are not sufficient in bear markets and proposed modify ratio in order to solve the problem of their discontinuity. The results of the modify ratios were correlate with those of Jensen’s alpha, while rankings were not consistent with the use of classical Sharpe and Treynor indexen
heal.academicPublisherSchool of Economics, Business Administration and Legal Studies, MSc in Banking and Financeen
heal.academicPublisherIDihu
heal.accessfreeel
heal.advisorNameArtikisen
heal.bibliographicCitationPeppas Apostolos, 2011, Performance Evaluation Of Greek Domestic Mutual Funds in the Crisis of 2008-2010, Master's Dissertation, International Hellenic Universityen
heal.committeeMemberNameArtikisen
heal.committeeMemberNameChalamandarisen
heal.committeeMemberNameLeventisen
heal.fullTextAvailabilitytrue
heal.languageen
heal.licensehttp://creativecommons.org/licenses/by-nc/4.0
heal.publicationDate2011-02-15
heal.recordProviderSchool of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
heal.tableOfContentsABSTRACT.................................................................................................................22 TABLE OF CONTECTS...............................................................................................3 LIST OF TABLES ........................................................................................................4 LIST OF FIGURES..................................................................................................... .4 TABLE OF CONTENTS CHAPTER 1 INTRODUCTION 1.1 Introduction .............................................................................................................5 CHAPTER 2 LITERATURE REVIEW AND INDUSTRY OVERVIEW 2.1 Overview of Mutual Funds Industry.......................................................................7 2.2 Overview of Mutual Funds in Greece...................................................................99 2.3 Literature Review………………………………………………………………. 11 CHAPTER 3 CHAPTER 3 RESEARCH DATA AND METHODOLOGY 3.1 Data……………………………………………………………………………. 17 3.2 Methodology…….….………………………………………………………… 17 3.2.1 Returns and Risk ......…………………………………………………….. 17 3.3 Risk Measures……………………………………………………………….. 18 3.4 Performance Measures………...……………………………………………. 19 3.5 Survivorship Bias…………………………………………………………… 20 CHAPTER FOUR EMPIRICAL ANALYSIS 4.1 Introduction……………………………………………………………. .. 21 4.2 Analysis and Interpreting the Data………………………………………. 22 4.2.1 Mutual Fund of Sample…………………………………………………. 22 4.2.2 Returns of Period……………………………………………………….. 22 4.2.3 Ranking according to Performance and Standard Deviation…………… 23 4.3 Ranking Mutual Funds based on risk adjusted performance……………… 25 4.3.1 Results of the performance ratios ………………………………………… 25 4.3.2 Ranking according to performance ratios………………………………… 28 4.4 A different approach of Sharpe and Treynor ratio………………………. 30 4.4.1 The discontinuity of Sharpe and Treynor ratio…………………………. 30 4.4.2 Evidences from our sample and mathematical proof………………….. 31 CHAPTER FIVE Conclusions and Recommendations……………………………………………. 35 REFERENCES………………………………………………………………… 36 Appendix………………………………………………………………………. 41en
heal.typemasterThesis

Αρχεία

Πρωτότυπος φάκελος/πακέτο

Τώρα δείχνει 1 - 1 από 1
Μικρογραφία εικόνας
Ονομα:
Peppas Apostolos.pdf
Μέγεθος:
382.76 KB
Μορφότυπο:
Adobe Portable Document Format
Περιγραφή:
Κατεβάστε

Φάκελος/Πακέτο αδειών

Τώρα δείχνει 1 - 1 από 1
Δεν υπάρχει διαθέσιμη μικρογραφία
Ονομα:
license.txt
Μέγεθος:
1.71 KB
Μορφότυπο:
Item-specific license agreed upon to submission
Περιγραφή:
Κατεβάστε

Συλλογές

Theses and dissertations